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Bayesian covariance matrix estimation using a mixture of

โœ Scribed by Helen Armstrong; Christopher K. Carter; Kin Foon Kevin Wong; Robert Kohn


Book ID
106537217
Publisher
Springer US
Year
2008
Tongue
English
Weight
651 KB
Volume
19
Category
Article
ISSN
0960-3174

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Estimating the covariance matrix: a new
โœ T. Kubokawa; M.S. Srivastava ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 242 KB

In this paper, we consider the problem of estimating the covariance matrix and the generalized variance when the observations follow a nonsingular multivariate normal distribution with unknown mean. A new method is presented to obtain a truncated estimator that utilizes the information available in