Estimation of Wishart mean matrices under simple tree ordering
For Wishart density functions, we study the risk dominance problems of the restricted maximum likelihood estimators of mean matrices with respect to the Kullback-Leibler loss function over restricted parameter space under the simple tree ordering set. The results are directly applied to the estimation of covariance matrices for the completely balanced multivariate multi-way random effects models without interactions.
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Volume (Year): 98 (2007)
Issue (Month): 5 (May)
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References listed on IDEAS
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- Haff, L. R., 1979. "An identity for the Wishart distribution with applications," Journal of Multivariate Analysis, Elsevier, vol. 9(4), pages 531-544, December.
- Kubokawa, Tatsuya & Tsai, Ming-Tien, 2006. "Estimation of covariance matrices in fixed and mixed effects linear models," Journal of Multivariate Analysis, Elsevier, vol. 97(10), pages 2242-2261, November.
- Tsai, Ming-Tien, 2004. "Maximum likelihood estimation of covariance matrices under simple tree ordering," Journal of Multivariate Analysis, Elsevier, vol. 89(2), pages 292-303, May.
- Loh, Wei-Liem, 1991. "Estimating covariance matrices II," Journal of Multivariate Analysis, Elsevier, vol. 36(2), pages 163-174, February.
- Ming-Tien Tsai & Tatsuya Kubokawa, 2005. "Estimation of Several Wishart Mean Matrices," CIRJE F-Series CIRJE-F-349, CIRJE, Faculty of Economics, University of Tokyo.
- M. S. Srivastava & Tatsuya Kubokawa, 1999. "Improved Nonnegative Estimation of Multivariate Components of Variance," CIRJE F-Series CIRJE-F-38, CIRJE, Faculty of Economics, University of Tokyo.
- Sheena, Yo & Takemura, Akimichi, 1992. "Inadmissibility of non-order-preserving orthogonally invariant estimators of the covariance matrix in the case of Stein's loss," Journal of Multivariate Analysis, Elsevier, vol. 41(1), pages 117-131, April.
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