Estimation methods for the multivariate t distribution

DOI10.1007/S10440-008-9212-8MaRDI QIDQ925280zbMATH OpenOpenAlexFDO

Authors Samuel Kotz, Saralees Nadarajah

Publication date 3 June 2008

Published in Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10440-008-9212-8

zbMATH Keywords

multivariate normal distributionEM algorithmKambo's proceduremissing data imputationml estimationTiku's procedure

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Recommendations

• Sampling distributions associated with the multivariate t distribution
• Review of regression models based on the multivariate \(t\) distribution
• Multitude of multivariatet-distributions
• Multivariate Student’s t and Its Applications
• Mathematical properties of the multivariate \(t\) distribution

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Cited in

(27)

• Generalized multivariate Birnbaum-Saunders distributions and related inferential issues
• Normal variance mixtures: distribution, density and parameter estimation
• A new multivariate t distribution with variant tail weights and its application in robust regression analysis
• Gradient conjugate priors and multi-layer neural networks
• Review of regression models based on the multivariate \(t\) distribution
• A broad class of multivariate distributions for rates and proportions
• Doubly reweighted estimators for the parameters of the multivariate \(t\)-distribution
• Parameter estimation of multivariate scaled \(t\) distribution: an application to all share price index
• ML estimation of the multivariate t distribution and the EM algorithm
• Multivariate myriad filters based on parameter estimation of Student-\(t\) distributions
• The multiparameter \(t'\) distribution
• Percentage Points of the Multivariate t Distribution
• Estimation in generalized bivariate Birnbaum-Saunders models
• Mathematical properties of the multivariate \(t\) distribution
• Local asymptotic normality for Student-Lévy processes under high-frequency sampling
• Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations
• Goodness-of-fit testing based on a weighted bootstrap: a fast large-sample alternative to the parametric bootstrap
• Multivariate T-Distributions and Their Applications
• mvcauchy
• An overview of heavy-tail extensions of multivariate Gaussian distribution and their relations
• Statistical inference for models with multivariate t-distributed errors
• Long-tail distribution based multiscale-multiband autoregressive detection for hyperspectral imagery
• Statistical Bayesian estimation for multivariate \(T\)-distributions
• Interval estimation of parameters in a multivariate \(t\)-model with Rao's simple structure
• Myopic robust index tracking with Bregman divergence
• A note on parameter estimation under a t-model
• Sampling distributions associated with the multivariate t distribution

Describes a project that uses

Uses Software

• EMMIX

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