Estimation of Wishart mean matrices under simple tree ordering |
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Authors: | Ming-Tien Tsai Tatsuya Kubokawa |
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Institution: | a Institute of Statistical Science, Academia Sinica, 128, Academia Rd. Sec. 2, Taipei 11529, Taiwan b Faculty of Economics, University of Tokyo, 7-3-1, Hongo, Bunkyo-ku, Tokyo 113-0033, Japan |
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Abstract: | For Wishart density functions, we study the risk dominance problems of the restricted maximum likelihood estimators of mean matrices with respect to the Kullback-Leibler loss function over restricted parameter space under the simple tree ordering set. The results are directly applied to the estimation of covariance matrices for the completely balanced multivariate multi-way random effects models without interactions. |
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Keywords: | Primary 62C15 62C20 secondary 62H12 62F30 |
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