Estimation of Wishart mean matrices under simple tree ordering

Ming-Tien Tsai and Tatsuya Kubokawa

Journal of Multivariate Analysis, 2007, vol. 98, issue 5, 945-959

Abstract: For Wishart density functions, we study the risk dominance problems of the restricted maximum likelihood estimators of mean matrices with respect to the Kullback-Leibler loss function over restricted parameter space under the simple tree ordering set. The results are directly applied to the estimation of covariance matrices for the completely balanced multivariate multi-way random effects models without interactions.

Keywords: Kullback-Leibler; loss; Maximum; likelihood; estimators; Risk; dominance; Simple; tree; ordering; set; Wishart; density; function (search for similar items in EconPapers)
Date: 2007
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