Simultaneous estimation of normal precision matrices

Hisayuki Tsukuma and Tatsuya Kubokawa
Additional contact information
Hisayuki Tsukuma: Department of Medical Informatics, Toho University
Tatsuya Kubokawa: Faculty of Economics, University of Tokyo

No CIRJE-F-459, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: This paper treats the problem of simultaneously estimating the precision matrices in multivariate normal distributions. A condition for improvement on the unbiased estimators of the precision matrices is derived under a quadratic loss function. The improvement condition is similar to the superharmonic condition established by Stein (1981). The condition allows us not only to provide various alternative estimators such as shrinkage type and enlargement type estimators for the unbiased estimators, but also to present a condition on a prior density under which the resulting generalized Bayes estimators dominate the unbiased estimators. Also, a unified method improving upon both the shrinkage and the enlargement type estimators is discussed.

Pages: 24 pages
Date: 2006-12
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2006/2006cf459.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2006cf459

Access Statistics for this paper

More papers in CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo Contact information at EDIRC.
Bibliographic data for series maintained by CIRJE administrative office (cirje@e.u-tokyo.ac.jp).