TY - JOUR
T1 - Estimation of the precision matrix of multivariate Pearson type II model
AU - Sarr, Amadou
AU - Gupta, Arjun K.
AU - Joarder, Anwar H.
PY - 2009/1
Y1 - 2009/1
N2 - In this paper, the problem of estimating the precision matrix of a multivariate Pearson type II-model is considered. A new class of estimators is proposed. Moreover, the risk functions of the usual and the proposed estimators are explicitly derived. It is shown that the proposed estimator dominates the MLE and the unbiased estimator, under the quadratic loss function. A simulation study is carried out and confirms these results. Improved estimator of tr (∑ -1) is also obtained.
AB - In this paper, the problem of estimating the precision matrix of a multivariate Pearson type II-model is considered. A new class of estimators is proposed. Moreover, the risk functions of the usual and the proposed estimators are explicitly derived. It is shown that the proposed estimator dominates the MLE and the unbiased estimator, under the quadratic loss function. A simulation study is carried out and confirms these results. Improved estimator of tr (∑ -1) is also obtained.
KW - Decision theoretic estimation
KW - Estimation of the precision matrix
KW - Multivariate Pearson type II-model
KW - Quadratic loss
UR - http://www.scopus.com/inward/record.url?scp=60649121959&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=60649121959&partnerID=8YFLogxK
U2 - 10.1007/s00184-008-0172-9
DO - 10.1007/s00184-008-0172-9
M3 - Article
AN - SCOPUS:60649121959
SN - 0026-1335
VL - 69
SP - 31
EP - 44
JO - Metrika
JF - Metrika
IS - 1
ER -