Angular Gaussian and Cauchy estimation

This paper proposes a unified treatment of maximum likelihood estimates of angular Gaussian and multivariate Cauchy distributions in both the real and the complex case. The complex case is relevant in shape analysis. We describe in full generality the set of maxima of the corresponding log-likelihood functions with respect to an arbitrary probability measure. Our tools are the convexity of log-likelihood functions and their behaviour at infinity.

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Year of publication:	2005
Authors:	Auderset, Claude ; Mazza, Christian ; Ruh, Ernst A.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 93.2005, 1, p. 180-197
Publisher:	Elsevier
Keywords:	Multivariate Cauchy Angular Gaussian Directional and shape analysis Maximum likelihood Differential geometry Equivariance Geodesics Symmetric spaces

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005221720