Estimation of the precision matrix of multivariate Kotz type model

Amadou Sarr and Arjun K. Gupta

Journal of Multivariate Analysis, 2009, vol. 100, issue 4, 742-752

Abstract: In this paper, the problem of estimating the precision matrix of a multivariate Kotz type model is considered. First, using the quadratic loss function, we prove that the unbiased estimator , where denotes the sample sum of product matrix, is dominated by a better constant multiple of , denoted by . Secondly, a new class of shrinkage estimators of is proposed. Moreover, the risk functions of , and the proposed estimators are explicitly derived. It is shown that the proposed estimator dominates , under the quadratic loss function. A simulation study is carried out which confirms these results. Improved estimator of is also obtained.

Keywords: primary; 62H12 secondary; 62C15 Multivariate Kotz type model Estimation of the precision matrix Quadratic loss Decision theoretic estimation (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047-259X(08)00180-2
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:100:y:2009:i:4:p:742-752

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().