Téléchargez le livre : Shrinkage Estimation for Mean and Covariance Matrices

Shrinkage Estimation for Mean and Covariance Matrices



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Éditeur :

Springer


Collection :

SpringerBriefs in Statistics

Paru le : 2020-04-16



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Description


This book provides a self-contained introduction to shrinkage estimation for matrix-variate normal distribution models. More specifically, it presents recent techniques and results in estimation of mean and covariance matrices with a high-dimensional setting that implies singularity of the sample covariance matrix. Such high-dimensional models can be analyzed by using the same arguments as for low-dimensional models, thus yielding a unified approach to both high- and low-dimensional shrinkage estimations. The unified shrinkage approach not only integrates modern and classical shrinkage estimation, but is also required for further development of the field. Beginning with the notion of decision-theoretic estimation, this book explains matrix theory, group invariance, and other mathematical tools for finding better estimators. It also includes examples of shrinkage estimators for improving standard estimators, such as least squares, maximum likelihood, and minimum risk invariantestimators, and discusses the historical background and related topics in decision-theoretic estimation of parameter matrices. This book is useful for researchers and graduate students in various fields requiring data analysis skills as well as in mathematical statistics.
Pages
112 pages
Collection
SpringerBriefs in Statistics
Parution
2020-04-16
Marque
Springer
EAN papier
9789811515958
EAN PDF
9789811515965
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
11
Taille du fichier
2130 Ko
Ce livre est accessible aux handicaps Voir les informations sur l'accessibilité
Prix
63,29 €
EAN EPUB
9789811515965
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
11
Taille du fichier
10445 Ko
Ce livre est accessible aux handicaps Voir les informations sur l'accessibilité
Prix
63,29 €

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