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A Revisit to Estimation of the Precision Matrix of the Wishart Distribution
http://hdl.handle.net/2261/2540
http://hdl.handle.net/2261/2540015c0db1-cbac-4409-a6cc-bbf6ee19c1fa
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-06-03 | |||||
タイトル | ||||||
タイトル | A Revisit to Estimation of the Precision Matrix of the Wishart Distribution | |||||
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 | decision theory | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | empirical Bayes procedure | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | James-Stein estimator | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | mean matrix | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | minimaxity | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | precision matrix | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | shrinkage estimation | |||||
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 |
|||||
著者所属 | ||||||
著者所属 | University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | The estimation of the precision matrix of the Wishart distribution is one of classical problems studied in a decision-theoretic framework and is related to estimation of mean and covariance matrices of a multivariate normal distribution. This paper revisits the estimation problem of the precision matrix and investigates how it connects with the theory of the covariance estimation from a decision-theoretic aspect. To evaluate estimators in terms of risk functions, we employ two kinds of loss functions: the non-scale-invariant loss and the scale-invariant loss functions which are induced from estimation of means. Using the same methods as in the estimation of the covariance matrix, we derive not only the James-Stein type of estimators improving on the Stein type one under the non-scale-invariant loss. It is observed that dominance properties given in the estimation of the covariance matrix do not necessarily hold in our setup under the non-scale-invariant loss, but still hold relative to the scale-invariant loss. The simulation studies are given, and estimators having superior risk performances are proposed.s. | |||||
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 2004-CF-264, 発行日 2004-02 |
|||||
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 | |||||
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/2004/2004cf264ab.html |