Estimating the normal dispersion matrix and the precision matrix from a decision-theoretic point of view: a review
Estimating the normal dispersion matrix and the precision matrix from a decision-theoretic point of view: a review
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从决策理论的角度估计正态色散矩阵和精度矩阵：回顾
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发表时间：
1993
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通讯作者：
N. Pal
中科院分区：
文献类型：
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作者：
N. Pal
本文基于一个pxp Wishart矩阵S ∈ Wp（Ω| n）和一个独立向量
$$\underset{\raise0.3em\hbox{$\smash{\scriptscriptstyle\thicksim}$}}{X} \sim N_p（\underset{\raise0.3em\hbox{$\smash{\scriptscriptstyle\thicksim}$}}{\mu }，\Sigma）$$
，在决策理论框架中讨论了各种点估计方法，以估计色散矩阵Ω和精度矩阵∑−1。在这篇文章中，我们试图回顾在过去的三十年中，已经开发的上述问题的丰富和巨大的文献。
AbstractBased 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.