Anis M. Haddouche

collaborators

2 papers

math.ST2021

A unified approach for covariance matrix estimation under Stein loss

Anis M. Haddouche, Wei Lu

In this paper, we address the problem of estimating a covariance matrix of a multivariate Gaussian distribution, relative to a Stein loss function, from a decision theoretic point…

math.ST2020

Covariance matrix estimation under data-based loss

Anis M. Haddouche, Dominique Fourdrinier, Fatiha Mezoued

In this paper, we consider the problem of estimating the $p \times p$ scale matrix $Σ$ of a multivariate linear regression model $Y = X β + E$ when the distribution of the…