Simultaneous estimation of normal precision matrices
This paper treats the problem of simultaneously estimating the precision matrices in multivariate normal distributions. A condition for improvement on the unbiased estimators of the precision matrices is derived under a quadratic loss function. The improvement condition is similar to the superharmonic condition established by Stein (1981). The condition allows us not only to provide various alternative estimators such as shrinkage type and enlargement type estimators for the unbiased estimators, but also to present a condition on a prior density under which the resulting generalized Bayes estimators dominate the unbiased estimators. Also, a unified method improving upon both the shrinkage and the enlargement type estimators is discussed.
|Date of creation:||Dec 2006|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.cirje.e.u-tokyo.ac.jp/index.html
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dey, Dipak K., 1987. "Improved estimation of a multinormal precision matrix," Statistics & Probability Letters, Elsevier, vol. 6(2), pages 125-128, November.
When requesting a correction, please mention this item's handle: RePEc:tky:fseres:2006cf459. 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 references are entirely missing, you can add them using this form.