Estimation of the eigenvalues of noncentrality parameter matrix in noncentral Wishart distribution

A. K. Gupta, Y. Sheena and Y. Fujikoshi

Journal of Multivariate Analysis, 2005, vol. 93, issue 1, 1-20

Abstract: We consider the problem of estimating the eigenvalues of noncentrality parameter matrix in noncentral Wishart distribution when the scale parameter is known. A decision theoretic approach is taken with squared error as the loss function. We propose two new estimators and show their superior performance to an usual estimator theoretically and numerically.

Keywords: Maximum; likelihood; estimator; Risk; Orthogonally; invariant; estimator; Monte; Carlo; simulations (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (2)

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