Estimation of the precision matrix of a singular Wishart distribution and its application in high-dimensional data

Journal of Multivariate Analysis

Volumn 99, Issue 9, 2008, Pages 1906-1928

  Kubokawa, Tatsuya ^a   Srivastava, Muni S ^b  

^a UNIVERSITY OF TOKYO   (Japan)

^b UNIVERSITY OF TORONTO   (Canada)

Author keywords

62C12; 62C20; 62H12; 62H30; Covariance matrix; Discriminant analysis; Dominance property; Efron Morris loss function; Empirical Bayes procedure; Multivariate classification; Precision matrix; primary; secondary; Singular Wishart; Stein Haff identity

Indexed keywords

EID: 52749099161     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2008.01.016     Document Type: Article

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