Estimation of the trace of the scaled covariance matrix of a multivariate t-model using a known information

Estimation of the trace of the scaled covariance matrix of a multivariate t-model using a known information

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Article ID: iaor2003826
Country: Germany
Volume: 54
Issue: 1
Start Page Number: 53
End Page Number: 58
Publication Date: Jan 2001
Journal: Metrika
Authors: ,
Keywords: simulation: applications
Abstract:

The trace of the scaled covariance matrix of the multivariate t-distribution is considered for estimation using a power transformation. The proposed estimator always dominates the usual maximum likelihood estimator in the sense of having smaller risk under a quadratic loss function. The dominance behaviour is proved analytically as well as computationally by using Monte-Carlo simulation.

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