Estimates of low bias for the multivariate normal

Christopher S. Withers and Saralees Nadarajah

Statistics & Probability Letters, 2011, vol. 81, issue 11, 1635-1647

Abstract: Given a sample from a multivariate normal with mean , a method is given for obtaining estimates with low bias for a function of the parameters. When the function is a product of positive powers of the parameters, an unbiased estimate is available. Estimates of ratios like [mu]1/[mu]2 are given with bias ~n-5, where n is the sample size. Simulation studies show superior performance of these estimates versus traditional ones.

Keywords: Bias; reduction; Moments; Multivariate; Hermite; polynomials; Multivariate; normal; Ratio; estimates (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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