Archive for Stein loss

Estimation of covariance matrices

Posted in Statistics with tags , , , , , on June 21, 2011 by xi'an

Mathilde Bouriga and Olivier Féron have posted a paper on arXiv centred on the estimation of covariance matrices using inverse-Wishart priors. They introduce hyperpriors on the hyperparameters in the spirit of Daniels and Kass (JASA, 1999) and derive Bayes estimators as well as MCMC procedures. They then run a simulation comparison between the different priors in terms of frequentist risks, concluding in favour of the shrinkage covariance estimators that shrink all components of the empirical covariance matrix. (This paper is part of Mathilde’s thesis, which I co-advise with Jean-Michel Marin.)

More among interesting postings on arXiv, many of them published in Statistical Science:

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