2012 Fiscal Year Final Research Report
Study on multivariate Statistical models and their inference procedures for analysis of high-dimensional data and its applications
| Project/Area Number |
21500283
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Statistical science
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| Research Institution | Japan Women's University |
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Principal Investigator |
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| Project Period (FY) |
2009 – 2012
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| Keywords | ウィシャート行列 / 縮小型推定量 |
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| Research Abstract |
The problem of estimating large covariance matrices of multivariate real normal and complex normal distributions is considered when the dimension of the variables is larger than the number of sample size. The Stein-Haff identities and calculus on eigenstructures for singular Wishart matrices are developed for real and complex cases, respectively. By using these techniques, the unbiased risk estimates for certain class of estimators for the population covariance matrices under an invariant quadratic loss functions are obtained for real and complex cases, respectively.
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