Estimation of the precision matrix of multivariate Kotz type model

DOI10.1016/j.jmva.2008.08.001zbMath1162.62054OpenAlexW2008619971MaRDI QIDQ1002355

Arjun K. Gupta, Amadou Sarr

Publication date: 25 February 2009

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2008.08.001

zbMATH Keywords

quadratic lossdecision theoretic estimationestimation of precision matrixmultivariate Kotz type model

Mathematics Subject Classification ID

Related Items (7)

Direct shrinkage estimation of large dimensional precision matrix ⋮ A GENERALIZED WISHART DISTRIBUTION: MATRIX VARIATE VARMA TRANSFORM ⋮ An exact test for a column of the covariance matrix based on a single observation ⋮ Estimation of the precision matrix of a multivariate elliptically contoured stable distribution ⋮ Estimation of the inverse scatter matrix for a scale mixture of Wishart matrices under Efron-Morris type losses ⋮ On the residual dependence index of elliptical distributions ⋮ Skewed Kotz distribution with application to financial stock returns

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