Drexel dragonThe Math ForumDonate to the Math Forum



Search All of the Math Forum:

Views expressed in these public forums are not endorsed by Drexel University or The Math Forum.


Math Forum » Discussions » sci.math.* » sci.stat.math

Topic: Shrinkage with known covariance matrix
Replies: 1   Last Post: Apr 6, 2006 11:34 AM

Advanced Search
Reply to this Topic Reply to this Topic

Back to Topic List Back to Topic List Jump to Tree View Jump to Tree View   Messages: [ Previous | Next ]
Yaroslav Bulatov

Posts: 263
Registered: 1/25/05
Shrinkage with known covariance matrix
Posted: Apr 5, 2006 9:50 PM
  Click to see the message monospaced in plain text Plain Text   Click to reply to this topic Reply

If we have n observations generated by d-dimensional normal with
identity covariance matrix, Stein phenomenon tells us to use ||x||^2 to
shrink the estimates towards zero. But what if our normal distribution
has some other covariance matrix, are there simple recipies to coming
up with good shrinkage estimators there?

Point your RSS reader here for a feed of the latest messages in this topic.

[Privacy Policy] [Terms of Use]

© Drexel University 1994-2009. All Rights Reserved.
The Math Forum is a research and educational enterprise of the Goodwin College of Professional Studies.