Estimation methods for the multivariate t distribution

DOI10.1007/S10440-008-9212-8zbMATH Open1139.62316OpenAlexW2152385515MaRDI QIDQ925280FDOQ925280

Saralees Nadarajah, Samuel Kotz

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the convergence properties of the EM algorithm
• Robust m-estimators of multivariate location and scatter
• Accurate Approximations for Posterior Moments and Marginal Densities
• What is Projection Pursuit?
• A new method of estimation for location and scale parameters
• Measures of multivariate skewness and kurtosis with applications
• On polynomial-based projection indices for exploratory projection pursuit
• Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms
• A Multiple Comparison Procedure for Comparing Several Treatments with a Control
• Estimation of the parameters of a regression model with a multivariate t error variable
• Bartlett's decomposition of the posterior distribution of the covariance for normal monotone ignorable missing data
• Missing data imputation using the multivariate \(t\) distribution
• Bayesian Robust Multivariate Linear Regression With Incomplete Data
• Fuzzy clustering using scatter matrices
• Simultaneous estimation of eigenvalues
• Bayesian Methods for Variance Component Models
• Some useful Wishart expectations based on the multivariate \(t\)-model
• Score test for the covariance matrix of the elliptical \(t\)-distribution
• A robust algorithm for automatic extraction of an unknown number of clusters from noisy data
• Estimation of the scale matrix of a class of elliptical distributions
• Closure of multivariate \(t\) and related distributions
• Estimation of the scale matrix of a multivariate \(t\)-model under entropy loss
• Estimation of the characteristic roots of the scale matrix
• Robust projection indices
• On some generalized wishart expectations
• Estimation and hypothesis testing for a new family of bivariate nonnormal distributions
• Estimation of The Trace of The Scale Matrix of A Multivariate T-Model Using Regression Type Estimator Statistics
• A Bayesian prediction approach to robust speech recognition and online environmental learning

Cited In (20)

• Generalized multivariate Birnbaum-Saunders distributions and related inferential issues
• mvcauchy
• A new multivariate t distribution with variant tail weights and its application in robust regression analysis
• Normal variance mixtures: distribution, density and parameter estimation
• Gradient conjugate priors and multi-layer neural networks
• A broad class of multivariate distributions for rates and proportions
• ML estimation of the multivariate \(t\) distribution and the EM algorithm
• Estimation in generalized bivariate Birnbaum-Saunders models
• 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
• Statistical Inference for Models with Multivariate t‐Distributed Errors
• Goodness-of-fit testing based on a weighted bootstrap: a fast large-sample alternative to the parametric bootstrap
• An overview of heavy-tail extensions of multivariate Gaussian distribution and their relations
• Doubly reweighted estimators for the parameters of the multivariate t-distribution
• Long-tail distribution based multiscale-multiband autoregressive detection for hyperspectral imagery
• Statistical Bayesian estimation for multivariate \(T\)-distributions
• Myopic robust index tracking with Bregman divergence
• Interval estimation of parameters in a multivariate \(t\)-model with Rao's simple structure
• A note on parameter estimation under a \(t\)-model
• Multivariate Myriad Filters Based on Parameter Estimation of Student-$t$ Distributions

Uses Software

• EMMIX

This page was built for publication: Estimation methods for the multivariate \(t\) distribution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q925280)