Quasi shrinkage estimation of a block-structured covariance matrix
| cris.virtual.author-orcid | 0000-0001-5473-3419 | |
| cris.virtual.author-orcid | #PLACEHOLDER_PARENT_METADATA_VALUE# | |
| cris.virtual.author-orcid | #PLACEHOLDER_PARENT_METADATA_VALUE# | |
| cris.virtualsource.author-orcid | e9e0b41e-e4f0-4842-94d4-95738eaea207 | |
| cris.virtualsource.author-orcid | #PLACEHOLDER_PARENT_METADATA_VALUE# | |
| cris.virtualsource.author-orcid | #PLACEHOLDER_PARENT_METADATA_VALUE# | |
| dc.abstract.en | In this paper, we study the estimation of a block covariance matrix with linearly structured off-diagonal blocks. We consider estimation based on the least squares method, which has some drawbacks. These estimates are not always well conditioned and may not even be definite. We propose a new estimation procedure providing a structured positive definite and well-conditioned estimator with good statistical properties. The least squares estimator is improved with the use of a shrinkage method and an additional algebraic approach. The resulting so-called quasi shrinkage estimator is compared with the structured maximum likelihood estimator. | |
| dc.affiliation | Wydział Rolnictwa, Ogrodnictwa i Biotechnologii | |
| dc.affiliation.institute | Katedra Metod Matematycznych i Statystycznych | |
| dc.contributor.author | Markiewicz, Augustyn | |
| dc.contributor.author | Mokrzycka, M. | |
| dc.contributor.author | Mrowińska, M. | |
| dc.date.accessioned | 2025-05-14T07:22:21Z | |
| dc.date.available | 2025-05-14T07:22:21Z | |
| dc.date.issued | 2024 | |
| dc.description.bibliography | il., bibliogr. | |
| dc.description.finance | publication_nocost | |
| dc.description.financecost | 0,00 | |
| dc.description.if | 1,1 | |
| dc.description.number | 14 | |
| dc.description.points | 70 | |
| dc.description.volume | 94 | |
| dc.identifier.doi | 10.1080/00949655.2024.2367164 | |
| dc.identifier.eissn | 1563-5163 | |
| dc.identifier.issn | 0094-9655 | |
| dc.identifier.uri | https://sciencerep.up.poznan.pl/handle/item/2776 | |
| dc.language | en | |
| dc.relation.ispartof | Journal of Statistical Computation and Simulation | |
| dc.relation.pages | 3093-3110 | |
| dc.rights | ClosedAccess | |
| dc.sciencecloud | send | |
| dc.subject.en | covariance matrix | |
| dc.subject.en | block linear structure | |
| dc.subject.en | maximum likelihood estimation | |
| dc.subject.en | orthogonal projection | |
| dc.subject.en | shrinkage method | |
| dc.title | Quasi shrinkage estimation of a block-structured covariance matrix | |
| dc.type | JournalArticle | |
| dspace.entity.type | Publication | |
| oaire.citation.issue | 14 | |
| oaire.citation.volume | 94 |