Estimation of the precision matrix of multivariate Pearson type II model

Amadou Sarr; Arjun K. Gupta; Anwar H. Joarder

doi:10.1007/s00184-008-0172-9

Estimation of the precision matrix of multivariate Pearson type II model

Amadou Sarr^*, Arjun K. Gupta, Anwar H. Joarder

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	31-44
Number of pages	14
Journal	Metrika
Volume	69
Issue number	1
DOIs	https://doi.org/10.1007/s00184-008-0172-9
Publication status	Published - Jan 2009
Externally published	Yes

Keywords

Decision theoretic estimation
Estimation of the precision matrix
Multivariate Pearson type II-model
Quadratic loss

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1007/s00184-008-0172-9

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abstract = "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.",

keywords = "Decision theoretic estimation, Estimation of the precision matrix, Multivariate Pearson type II-model, Quadratic loss",

author = "Amadou Sarr and Gupta, {Arjun K.} and Joarder, {Anwar H.}",

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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

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SP - 31

EP - 44

JO - Metrika

JF - Metrika

IS - 1

ER -

Estimation of the precision matrix of multivariate Pearson type II model

Abstract

Keywords

ASJC Scopus subject areas

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