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Estimating the Covariance Matrix : A New Approach
http://hdl.handle.net/2261/2438
http://hdl.handle.net/2261/24380340926b-247d-4553-9a04-b17ee4154f28
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2017-01-17 | |||||
タイトル | ||||||
タイトル | Estimating the Covariance Matrix : A New Approach | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Covariance matrix | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | generalized variance | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | minimax estimation | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | improvement | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | decision theory | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Stein result | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Bartlett's decomposition | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Kubokawa, Tatsuya
× Kubokawa, Tatsuya× M., S. Srivastava |
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著者所属 | ||||||
著者所属 | University of Tookyo | |||||
著者所属 | ||||||
著者所属 | University of Toronto | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | In this paper, we consider the problem of estimating the covariance matrix and the generalized variance when the observations follow a nonsingular multivariate normal distribution with unknown mean. A new method is presented to obtain a truncated estimator that utilizes the information available in the sample mean matrix and dominates the James-Stein minimax estimator. Several scale equivariant minimax estimators are also given. This method is then applied to obtain new truncated and improved estimators of the generalized variance; it also provides a new proof to the results of Shorro k and Zidek (1976)and Sinha (1976). | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | Former Version: 1999-CF-52 | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 2002-CF-162, 発行日 2002-07 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 330 | |||||
主題Scheme | NDC | |||||
Mathmatical Subject Classification | ||||||
62F11 | ||||||
Mathmatical Subject Classification | ||||||
62J12 | ||||||
Mathmatical Subject Classification | ||||||
62C15 | ||||||
Mathmatical Subject Classification | ||||||
62C20 | ||||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2002/2002cf162ab.html | |||||
異版あり | ||||||
関連タイプ | hasVersion | |||||
識別子タイプ | URI | |||||
関連識別子 | http://doi.org/10.1016/S0047-259X(02)00053-2 |