Angular Gaussian and Cauchy estimation

DOI10.1016/J.JMVA.2004.01.007zbMATH Open1087.62064arXiv0809.3697OpenAlexW2050595971MaRDI QIDQ707406FDOQ707406

Authors: Claude Auderset, Christian Mazza, Ernst A. Ruh 

Publication date: 9 February 2005

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

Abstract: This paper discusses the family of distributions on the Grassmannian of the linear span of r central gaussian vectors parametrized by the covariance matrix. Our main result is an existence and uniqueness criterion for the maximum likelihood estimate of a sample.

Full work available at URL: https://arxiv.org/abs/0809.3697

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zbMATH Keywords

Symmetric spacesMaximum likelihoodDifferential geometryDirectional and shape analysisEquivarianceGeodesicsMultivariate Cauchy

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Estimation in multivariate analysis (62H12)

Cites Work

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Cited In (8)

• Barycenter and maximum likelihood
• \(M\)-functionals of multivariate scatter
• Limit theorems for quasi-arithmetic means of random variables with applications to point estimations for the Cauchy distribution
• Consistency and asymptotic normality of M-estimates of scatter on Grassmann manifolds
• An overview of heavy-tail extensions of multivariate Gaussian distribution and their relations
• Goodness-of-fit tests for multivariate stable distributions based on the empirical characteristic function
• The back-projection angular flux estimator
• On the Efficiency of Angular Intraprediction

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