Estimation of the Scale Matrix of a Multivariate T-Model Under Entropy Loss

This paper deals with the estimation of the scale matrix of a multivariate t-model with unknown location vector and scale matrix to improve upon the usual estimators based on the sample sum of product matrix. The well-known results of the estimation of the scale matrix of the multivariate normal model under the assumption of entropy loss function have been generalized to that of a multivariate t-model

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Year of publication:	1998
Authors:	Joarder, Anwar H. ; Ali, Mir M.
Publisher:	[S.l.] : SSRN
Subject:	Entropie \| Entropy \| Schätztheorie \| Estimation theory \| Multivariate Analyse \| Multivariate analysis \| Schätzung \| Estimation
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Metrika, Vol. 46, No. 1 (August 1997) Volltext nicht verfügbar
Classification:	C13 - Estimation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014070138