Estimation of the parameters of a Wishart extension on symmetric matrices

DOI10.1007/S42952-022-00176-2MaRDI QIDQ2111953zbMATH OpenOpenAlexWikidataFDO

Authors Emna Ghorbel, Kaouthar Kammoun, Mahdi Louati, Akram Sallem

Publication date 17 January 2023

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s42952-022-00176-2

zbMATH Keywords

Cholesky decompositiondigamma functionmaximum likelihood estimatormean squared errormethod of momentsRiesz distribution

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Point estimation (62F10) Estimation in multivariate analysis (62H12)

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Cites work

• A note on the moments of the Riesz distribution
• Bayesian estimation of the precision matrix with monotone missing data
• Further identities for the Wishart distribution with applications in regression
• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• scientific article; zbMATH DE number 4084766 (Why is no real title available?)
• scientific article; zbMATH DE number 715155 (Why is no real title available?)
• scientific article; zbMATH DE number 7697242 (Why is no real title available?)
• Maximum likelihood estimator of the scale parameter for the Riesz distribution
• Mixture of the Riesz distribution with respect to a multivariate Poisson
• Mixture of the Riesz distribution with respect to the generalized multivariate gamma distribution
• Moment for the inverse Riesz distributions
• Multivariate stable exponential families and Tweedie scale
• NIST handbook of mathematical functions
• On Riesz and Wishart distributions associated with decomposable undirected graphs
• Some matrix-variate distribution theory: Notational considerations and a Bayesian application
• The complex Wishart distribution and the symmetric group
• The multiparameter \(t'\) distribution
• The noncentral Wishart as an exponential family, and its moments

Cited in

(6)

• Maximum likelihood estimation of Wishart mean matrices under Löwner order restrictions
• scientific article; zbMATH DE number 7404608 (Why is no real title available?)
• An extension of the non-central Wishart distribution with integer shape vector
• Relations between generalised Wishart matrices, the Muttalib-Borodin model and matrix spherical functions
• An expectation maximization algorithm for the hidden Markov models with multiparameter student-t observations
• Estimation of the precision matrix of a singular Wishart distribution and its application in high-dimensional data

Describes a project that uses

Uses Software

• DLMF

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