Translator Disclaimer
September, 1994 Estimation of a Covariance Matrix Using the Reference Prior
Ruoyong Yang, James O. Berger
Ann. Statist. 22(3): 1195-1211 (September, 1994). DOI: 10.1214/aos/1176325625

Abstract

Estimation of a covariance matrix $\sum$ is a notoriously difficult problem; the standard unbiased estimator can be substantially suboptimal. We approach the problem from a noninformative prior Bayesian perspective, developing the reference noninformative prior for a covariance matrix and obtaining expressions for the resulting Bayes estimators. These expressions involve the computation of high-dimensional posterior expectations, which is done using a recent Markov chain simulation tool, the hit-and-run sampler. Frequentist risk comparisons with previously suggested estimators are also given, and determination of the accuracy of the estimators is addressed.

Citation

Download Citation

Ruoyong Yang. James O. Berger. "Estimation of a Covariance Matrix Using the Reference Prior." Ann. Statist. 22 (3) 1195 - 1211, September, 1994. https://doi.org/10.1214/aos/1176325625

Information

Published: September, 1994
First available in Project Euclid: 11 April 2007

zbMATH: 0819.62013
MathSciNet: MR1311972
Digital Object Identifier: 10.1214/aos/1176325625

Subjects:
Primary: 62C10
Secondary: 62F15, 62H12

Rights: Copyright © 1994 Institute of Mathematical Statistics

JOURNAL ARTICLE
17 PAGES


SHARE
Vol.22 • No. 3 • September, 1994
Back to Top