کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1145397 1489663 2015 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Equivariant minimax dominators of the MLE in the array normal model
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Equivariant minimax dominators of the MLE in the array normal model
چکیده انگلیسی

Inference about dependence in a multiway data array can be made using the array normal model, which corresponds to the class of multivariate normal distributions with separable covariance matrices. Maximum likelihood and Bayesian methods for inference in the array normal model have appeared in the literature, but there have not been any results concerning the optimality properties of such estimators. In this article, we obtain results for the array normal model that are analogous to some classical results concerning covariance estimation for the multivariate normal model. We show that under a lower triangular product group, a uniformly minimum risk equivariant estimator (UMREE) can be obtained via a generalized Bayes procedure. Although this UMREE is minimax and dominates the MLE, it can be improved upon via an orthogonally equivariant modification. Numerical comparisons of the risks of these estimators show that the equivariant estimators can have substantially lower risks than the MLE.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 137, May 2015, Pages 32–49
نویسندگان
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