Maximum likelihood and maximum a posteriori estimators for the Riesz probability distribution

DOI10.1080/00949655.2021.1909587MaRDI QIDQ3389644zbMATH OpenOpenAlexFDO

Authors Sameh Kessentini, Raoudha Zine

Publication date 23 March 2022

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2021.1909587

zbMATH Keywords

Wishart distributionCholesky decompositionmaximum likelihood estimatorRiesz distributionmaximum a posteriori estimatorRiesz inverse Gaussian distribution

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Statistics (62-XX) Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Random matrices (probabilistic aspects) (60B20)

Cites work

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• More on connections between Wishart and matrix GIG distributions
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• Riesz inverse Gaussian distributions
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• The Riesz probability distribution: Generation and EM algorithm

Cited in

(4)

• Maximum likelihood estimator of the scale parameter for the Riesz distribution
• scientific article; zbMATH DE number 651976 (Why is no real title available?)
• scientific article; zbMATH DE number 7219341 (Why is no real title available?)
• On the Gaussian representation of the Riesz probability distribution on symmetric matrices

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