Estimation of the scale matrix of a class of elliptical distributions

被引：0
|
作者：
A. H. Joarder
S. E. Ahmed
机构：
[1] Department of Mathematical Sciences,
[2] King Fahd University of Petroleum and Minerals,undefined
[3] Dhahran 31261,undefined
[4] Saudi Arabia (e-mail: anwarj@kfupm.edu.sa),undefined
[5] Department of Mathematics and Statistics,undefined
[6] University of Regina,undefined
[7] Regina,undefined
[8] Saskatchewan,undefined
[9] Canada S4S 0A2 (e-mail: ahmed@math.uregina.ca),undefined
来源：
Metrika | 1998年 / 48卷
关键词：
Key Words: Elliptical distribution; multivariate normal distribution; multivariate t-distribution; estimation of scale matrix; risk function;
D O I：
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中图分类号：
学科分类号：
摘要：
The problem of estimation of the scale matrix of a class of elliptical distributions is considered. We propose an improved class of estimators for scale matrix. The exact forms of the risk functions are derived as well. The relative merits of the class of improved estimators to the usual one are appraised in the light of a quadratic loss function. The conditions under which the class of proposed estimators outperform the class of usual estimators are obtained. Relative Risk is also computed for a special case. Some important characteristics of scale matrix are also considered for estimation.
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页码：149 / 160
页数：11
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