Estimation

Arjun K. Gupta, Tamas Varga and Taras Bodnar
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Arjun K. Gupta: Bowling Green State University, Department of Mathematics and Statistics
Tamas Varga: Damjanich
Taras Bodnar: Humboldt-University of Berlin, Department of Mathematics

Chapter Chapter 7 in Elliptically Contoured Models in Statistics and Portfolio Theory, 2013, pp 173-192 from Springer

Abstract: Abstract In this chapter, we derive the maximum likelihood estimator for the parameters of matrix variate elliptically contoured distributions. Their distributional properties, like the unbiasedness and the sufficiency, are analyzed in detail.

Keywords: Maximum Likelihood Estimator; Unbiasedness; Distributional Properties; Minimax Estimator; Inadmissible Estimator (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4614-8154-6_7

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DOI: 10.1007/978-1-4614-8154-6_7

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