Estimation of the characteristic roots of the scale matrix

Estimation of the characteristic roots of the scale matrix

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Article ID: iaor19972581
Country: Germany
Volume: 44
Issue: 3
Start Page Number: 259
End Page Number: 267
Publication Date: Nov 1996
Journal: Metrika
Authors: ,
Abstract:

The simultaneous estimation of the characteristic roots of the scale matrix of the multi-variate t-model is considered. The improved estimation strategies are developed in the light of a quadratic loss function. It is demonstrated analytically and numerically that the class of proposed estimators outperforms the class of usual estimators in the sense of having smaller risk.

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