Equivariant minimax dominators of the MLE in the array normal model

Journal of Multivariate Analysis
David Gerard, Peter D Hoff

Abstract

Inference about dependencies in a multiway data array can be made using the array normal model, which corresponds to the class of multivariate normal distributions with separable covariance matrices. Maximum likelihood and Bayesian methods for inference in the array normal model have appeared in the literature, but there have not been any results concerning the optimality properties of such estimators. In this article, we obtain results for the array normal model that are analogous to some classical results concerning covariance estimation for the multivariate normal model. We show that under a lower triangular product group, a uniformly minimum risk equivariant estimator (UMREE) can be obtained via a generalized Bayes procedure. Although this UMREE is minimax and dominates the MLE, it can be improved upon via an orthogonally equivariant modification. Numerical comparisons of the risks of these estimators show that the equivariant estimators can have substantially lower risks than the MLE.

Citations

Apr 3, 2018·Statistics in Medicine·Laura A Hatfield, Alan M Zaslavsky
Aug 18, 2020·Psychometrika·Paolo GiordaniGiuseppe Bove

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Software Mentioned

UMREE
MWTE

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