A study on statistical inference based on singular Wishart matrices and its applications
| Project/Area Number |
15K00055
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Statistical science
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| Research Institution | Toho University |
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Principal Investigator |
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| Project Period (FY) |
2015-04-01 – 2018-03-31
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| Project Status |
Completed (Fiscal Year 2017)
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| Budget Amount *help |
¥2,470,000 (Direct Cost: ¥1,900,000、Indirect Cost: ¥570,000)
Fiscal Year 2017: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2016: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2015: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
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| Keywords | 多変量推測統計 / 統計的決定理論 / スタイン現象 / 縮小型推定 / ベイズ推定 / 高次元モデル / カルバック・ライブラー情報量 / 多変量推測理論 |
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| Outline of Final Research Achievements |
This study addressed a high-dimensional normal distribution model with small sample size and considered shrinkage estimation based on singular Wishart matrices from a decision-theoretic point of view. Some new estimators of covariance matrix were proposed under a Stein-type loss. Also, this study considered the problem of estimating predictive densities related to estimation of a normal mean matrix, and succeeded in deriving proper Bayes minimax predictive densities relative to the Kullback-Leibler loss.
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Report
(4 results)
Research Products
(7 results)
