Estimation of Wishart mean matrices under simple tree ordering

For Wishart density functions, we study the risk dominance problems of the restricted maximum likelihood estimators of mean matrices with respect to the Kullback-Leibler loss function over restricted parameter space under the simple tree ordering set. The results are directly applied to the estimation of covariance matrices for the completely balanced multivariate multi-way random effects models without interactions.

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Year of publication:	2007
Authors:	Tsai, Ming-Tien ; Kubokawa, Tatsuya
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 98.2007, 5, p. 945-959
Publisher:	Elsevier
Keywords:	Kullback-Leibler loss Maximum likelihood estimators Risk dominance Simple tree ordering set Wishart density function

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

Persistent link: https://www.econbiz.de/10005106976