Double Reweighted Estimators for the Parameters of the Multivariate t Distribution
From MaRDI portal
Publication:6288633
DOI10.1080/03610926.2018.1445861zbMATH Open1508.62139arXiv1707.01130MaRDI QIDQ6288633FDOQ6288633
Authors: Fatma Zehra Dogru, Y. Bulut, Olcay Arslan 
Publication date: 4 July 2017
Abstract: The t-distribution has many useful applications in robust statistical analysis. The parameter estimation of the t-distribution is carried out using ML estimation method, and the ML estimates are obtained via the EM algorithm. In this study, we consider an alternative estimation method for all the parameters of the multivariate-t distribution using the MLq estimation method. We adapt the EM algorithm to obtain the MLq estimates for all the parameters. We provide a small simulation study to illustrate the performance of the MLq estimators over the ML estimators and observe that the MLq estimators have considerable superiority over the ML estimators.
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)
This page was built for publication: Double Reweighted Estimators for the Parameters of the Multivariate t Distribution
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6288633)
