Maximum likelihood estimator of the scale parameter for the Riesz distribution

Kaouthar Kammoun, Mahdi Louati and Afif Masmoudi

Statistics & Probability Letters, 2017, vol. 126, issue C, 127-131

Abstract: This paper deals with the study of the maximum likelihood estimator of the scale parameter for the Riesz distribution. This distribution represents a natural generalization of the Wishart distribution. We give an explicit formula of this estimator and we examine some related asymptotic properties.

Keywords: Cholesky decomposition; Delta method; Inverse Riesz distribution; Maximum likelihood estimator; Riesz distributions (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:126:y:2017:i:c:p:127-131

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DOI: 10.1016/j.spl.2017.02.031

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