Advanced Search
MyIDEAS: Login

Estimation of the Precision Matrix of a Singular Wishart Distribution and its Application in High Dimensional Data

Contents:

Author Info

  • Kubokawa, Tatsuya

    (Faculty of Economics, University of Tokyo)

  • Muni S. Srivastava

    (Department of Statistics, University of Toronto)

Registered author(s):

    Abstract

    In this article, Stein-Haff identity is established for a singular Wishart distribution with a positive definite mean matrix but with the dimension larger than the degrees of freedom. This identity is then used to obtain estimators of the precision matrix improving on the estimator based on the Moore-Penrose inverse of the Wishart matrix under the Efron-Morris loss function and its variants. Ridge-type empirical Bayes estimators of the precision matrix are also given and their dominance properties over the usual one are shown using this identity. Finally, these precision estimators are used in a quadratic discriminant rule, and it is shown through simulation that the use of the ridge-type empirical Bayes estimators provides higher correct classication rates.

    Download Info

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Bibliographic Info

    Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-362.

    as in new window
    Length: 26 pages
    Date of creation: Aug 2005
    Date of revision:
    Handle: RePEc:tky:fseres:2005cf362

    Contact details of provider:
    Postal: Hongo 7-3-1, Bunkyo-ku, Tokyo 113-0033
    Phone: +81-3-5841-5644
    Fax: +81-3-5841-8294
    Email:
    Web page: http://www.cirje.e.u-tokyo.ac.jp/index.html
    More information through EDIRC

    Related research

    Keywords:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:tky:fseres:2005cf362. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CIRJE administrative office).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.