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Estimation of The Trace of The Scale Matrix of A Multivariate T-Model Using Regression Type Estimator Statistics

 

作者: Anwar H. Joarder,   Sarjinder singh,  

 

期刊: Statistics  （Taylor Available online 1997）
卷期: Volume 29, issue 2  

页码: 161-168

 

ISSN:0233-1888

 

年代: 1997

 

DOI:10.1080/02331889708802580

 

出版商: Gordon & Breach Science Publishers

 

关键词: Regression type estimator;scale matrix;estimation of trace of a scale matrix;multivariate t-distribution;Monte-Carlo simulation

 

数据来源: Taylor

 

摘要:

The trace of the scale matrix of the multivariatet-distribution is considered for estimation using a regression type estimator. The proposed estimator always dominates the usual maximum likelihood estimator under a quadratic loss function. The dominance behaviour is proved analytically as well as empirically using Monte-Carlo simulation.

 

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