Generalized Estimating Equation for the Student-t Distributions

MaRDI QIDQ6296995zbMATH OpenFDO

Authors Atin Gayen, M. Ashok Kumar

Publication date 27 January 2018

Abstract: In cite{KumarS15J2}, it was shown that a generalized maximum likelihood estimation problem on a (canonical) $alpha$-power-law model ($mathbb{M}^{(alpha)}$-family) can be solved by solving a system of linear equations. This was due to an orthogonality relationship between the $mathbb{M}^{(alpha)}$-family and a linear family with respect to the relative $alpha$-entropy (or the $mathscr{I}_{a}lpha$-divergence). Relative $alpha$-entropy is a generalization of the usual relative entropy (or the Kullback-Leibler divergence). $mathbb{M}^{(alpha)}$-family is a generalization of the usual exponential family. In this paper, we first generalize the $mathbb{M}^{(alpha)}$-family including the multivariate, continuous case and show that the Student-t distributions fall in this family. We then extend the above stated result of cite{KumarS15J2} to the general $mathbb{M}^{(alpha)}$-family. Finally we apply this result to the Student-t distribution and find generalized estimators for its parameters.

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