Estimation of the precision matrix of multivariate Kotz type model

In this paper, the problem of estimating the precision matrix of a multivariate Kotz type model is considered. First, using the quadratic loss function, we prove that the unbiased estimator , where denotes the sample sum of product matrix, is dominated by a better constant multiple of , denoted by . Secondly, a new class of shrinkage estimators of is proposed. Moreover, the risk functions of , and the proposed estimators are explicitly derived. It is shown that the proposed estimator dominates , under the quadratic loss function. A simulation study is carried out which confirms these results. Improved estimator of is also obtained.

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Year of publication:	2009
Authors:	Sarr, Amadou ; Gupta, Arjun K.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 100.2009, 4, p. 742-752
Publisher:	Elsevier
Subject:	primary \| 62H12 secondary \| 62C15 Multivariate Kotz type model Estimation of the precision matrix Quadratic loss Decision theoretic estimation

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005221243