Estimation of the scale matrix of a multivariate \(t\)-model under entropy loss

DOI10.1007/BF02717163zbMath0872.62062MaRDI QIDQ1362838

Mir M. Ali, Anwar H. Joarder

Publication date: 7 August 1997

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/186270

zbMATH Keywords

mixture of distributionsentropy loss functionmultivariate normal modelunknown locationestimation of scale matrixmultivariate t-model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Related Items (4)

Discrimination of observations into one of two elliptic populations based on monotone training samples ⋮ Unbiased estimator of correlation coefficient ⋮ Estimation methods for the multivariate \(t\) distribution ⋮ Estimation of a scale parameter in mixture models with unknown location

Cites Work

• Estimation of a covariance matrix under Stein's loss
• A generalization of the Wishart distribution for the elliptical model and its moments for the multivariate t model
• Maximum-likelihood estimates and likelihood-ratio criteria for multivariate elliptically contoured distributions
• Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms
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