Estimation of the scale matrix of a multivariate t-model under entropy loss

Estimation of the scale matrix of a multivariate t-model under entropy loss

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Article ID: iaor19983107
Country: Germany
Volume: 46
Issue: 1
Start Page Number: 21
End Page Number: 32
Publication Date: Jan 1997
Journal: Metrika
Authors: ,
Abstract:

This paper deals with the estimation of the scale matrix of a multivariate t-model with unknown location vector and scale matrix to improve upon the usual estimators based on the sample sum of product matrix. The well-known results of the estimation of the scale matrix of the multivariate normal model under the assumption of entropy loss function have been generalized to that of a multivariate t-model.

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