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

被引：15

作者：

Joarder, AH

Ali, MM

机构：

[1] MONASH UNIV,DEPT ECONOMETR,CLAYTON,VIC 3168,AUSTRALIA

[2] UNIV WESTERN ONTARIO,DEPT STAT & ACTUARIAL SCI,LONDON,ON N6A 5B7,CANADA

来源：

METRIKA | 1997年 / 46卷 / 01期

关键词：

multivariate t-model; scale matrix; estimation of scale matrix; mixture of distributions;

D O I：

10.1007/BF02717163

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：21 / 32

页数：12

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