A NOTE ON ESTIMATING EIGENVALUES OF SCALE MATRIX OF THE MULTIVARIATE F-DISTRIBUTION

被引：15

作者：

KONNO, Y ^{[1
]}

机构：

[1] ISHINOMAKI SENSHU UNIV,FAC BUSINESS ADM,ISHINOMAKI,MIYAGI 986,JAPAN

来源：

ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS | 1991年 / 43卷 / 01期

关键词：

ESTIMATION OF EIGENVALUES; MULTIVARIATE F-DISTRIBUTION; COVARIANCE MATRIX; ORTHOGONALLY INVARIANT ESTIMATORS;

D O I：

10.1007/BF00116475

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：

Let F(pxp) have the multivariate F-distribution with a scale matrix DELTA and degrees of freedom n1 and n2. In this paper the problem of estimating eigenvalues of DELTA is considered. By constructing the improved orthogonally invariant estimators DELTA-triple-overdot(F) of DELTA, which are analogous to Haff-type estimators of a normal covariance matrix, new estimators of eigenvalues of DELTA are given. This is because the eigenvalues of DELTA-tripple-overdot-(F) are taken as estimates of the eigenvalues of DELTA.

引用

页码：157 / 165

页数：9

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