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Shrinkage Estimation for Mean and Covariance MatricesA Generalized Stein Identity and Matrix Differential Operators

Shrinkage Estimation for Mean and Covariance Matrices: A Generalized Stein Identity and Matrix... [In shrinkage estimation, the Stein (1973, 1981) identity is known as an integration by parts formula for deriving unbiased risk estimates. It is a simple but very powerful mathematical tool and has contributed significantly to the development of shrinkage estimation. This chapter provides a generalized Stein identity in matrix-variate normal distribution model and also some useful results on matrix differential operators for a unified application of the identity to high- and low-dimensional normal models.] http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png

Shrinkage Estimation for Mean and Covariance MatricesA Generalized Stein Identity and Matrix Differential Operators

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Publisher
Springer Singapore
Copyright
© The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd. 2020
ISBN
978-981-15-1595-8
Pages
35 –43
DOI
10.1007/978-981-15-1596-5_5
Publisher site
See Chapter on Publisher Site

Abstract

[In shrinkage estimation, the Stein (1973, 1981) identity is known as an integration by parts formula for deriving unbiased risk estimates. It is a simple but very powerful mathematical tool and has contributed significantly to the development of shrinkage estimation. This chapter provides a generalized Stein identity in matrix-variate normal distribution model and also some useful results on matrix differential operators for a unified application of the identity to high- and low-dimensional normal models.]

Published: Apr 17, 2020

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