Angular Gaussian and Cauchy estimation

Claude Auderset, Christian Mazza and Ernst A. Ruh

Journal of Multivariate Analysis, 2005, vol. 93, issue 1, 180-197

Abstract: This paper proposes a unified treatment of maximum likelihood estimates of angular Gaussian and multivariate Cauchy distributions in both the real and the complex case. The complex case is relevant in shape analysis. We describe in full generality the set of maxima of the corresponding log-likelihood functions with respect to an arbitrary probability measure. Our tools are the convexity of log-likelihood functions and their behaviour at infinity.

Keywords: Multivariate; Cauchy; Angular; Gaussian; Directional; and; shape; analysis; Maximum; likelihood; Differential; geometry; Equivariance; Geodesics; Symmetric; spaces (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (2)

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