Estimation of the eigenvalues of noncentrality parameter matrix in noncentral Wishart distribution

We consider the problem of estimating the eigenvalues of noncentrality parameter matrix in noncentral Wishart distribution when the scale parameter is known. A decision theoretic approach is taken with squared error as the loss function. We propose two new estimators and show their superior performance to an usual estimator theoretically and numerically.

MoreLess

Year of publication:	2005
Authors:	Gupta, A. K. ; Sheena, Y. ; Fujikoshi, Y.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 93.2005, 1, p. 1-20
Publisher:	Elsevier
Keywords:	Maximum likelihood estimator Risk Orthogonally invariant estimator Monte Carlo simulations

More details

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

Persistent link: https://www.econbiz.de/10005093879