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Estimating the normal dispersion matrix and the precision matrix from a decision-theoretic point of view: a review

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Abstract

Based on a pxp Wishart matrix S ∼ Wp(Ω|n) and an independent vector\(\underset{\raise0.3em\hbox{$\smash{\scriptscriptstyle\thicksim}$}}{X} \sim N_p (\underset{\raise0.3em\hbox{$\smash{\scriptscriptstyle\thicksim}$}}{\mu } ,\Sigma )\), various point estimation methods are discussed in a decision-theoretic framework to estimate the dispersion matrix Ω and the precision matrix ∑−1. In this article we try to review the rich and vast literature on the above mentioned problems which has been developed in the last three decades.

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Authors and Affiliations

  1. Department of Statistics, University of Southwestern Louisiana, 70504-1006, Lafayette, Louisiana, USA

    N. Pal

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  1. N. Pal
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Research supported by Faculty Summer Research Grant (1991), University of Southwestern Louisiana.

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Pal, N. Estimating the normal dispersion matrix and the precision matrix from a decision-theoretic point of view: a review. Statistical Papers 34, 1–26 (1993). https://doi.org/10.1007/BF02925524

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