کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10524461 | 957554 | 2005 | 29 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Distribution of eigenvalues and eigenvectors of Wishart matrix when the population eigenvalues are infinitely dispersed and its application to minimax estimation of covariance matrix
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آنالیز عددی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Distribution of eigenvalues and eigenvectors of Wishart matrix when the population eigenvalues are infinitely dispersed and its application to minimax estimation of covariance matrix Distribution of eigenvalues and eigenvectors of Wishart matrix when the population eigenvalues are infinitely dispersed and its application to minimax estimation of covariance matrix](/preview/png/10524461.png)
چکیده انگلیسی
We consider the asymptotic joint distribution of the eigenvalues and eigenvectors of Wishart matrix when the population eigenvalues become infinitely dispersed. We show that the normalized sample eigenvalues and the relevant elements of the sample eigenvectors are asymptotically all mutually independently distributed. The limiting distributions of the normalized sample eigenvalues are chi-squared distributions with varying degrees of freedom and the distribution of the relevant elements of the eigenvectors is the standard normal distribution. As an application of this result, we investigate tail minimaxity in the estimation of the population covariance matrix of Wishart distribution with respect to Stein's loss function and the quadratic loss function. Under mild regularity conditions, we show that the behavior of a broad class of tail minimax estimators is identical when the sample eigenvalues become infinitely dispersed.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 94, Issue 2, June 2005, Pages 271-299
Journal: Journal of Multivariate Analysis - Volume 94, Issue 2, June 2005, Pages 271-299
نویسندگان
Akimichi Takemura, Yo Sheena,