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Estimation of the eigenvalues of noncentrality parameter in matrix variate noncentral beta distribution

  • Estimation
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Abstract

We consider the problem of estimating the eigenvalues of noncentrality parameter matrix in a matrix variate noncentral beta distribution, also known as multivariate noncentral F distribution. A decision theoretic approach is taken with square error as the loss function. We propose two types of new estimators and show their superior performance theoretically as well as numerically.

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Author notes

  1. Yo Sheena

    Present address: Department of Economics, Shinshu University, Asahi 3-1-1, Matsumoto, 390-8621, Nagano, Japan

Authors and Affiliations

  1. Department of Mathematics and Statistics, Bowling Green State University, 43403, Bowling Green, OH, USA

    Yo Sheena & A. K. Gupta

  2. Department of Mathematics, Graduate School of Science, Hiroshima University, Higashi Hiroshima, 739-8526, Hiroshima, Japan

    Y. Fujikoshi

Authors
  1. Yo Sheena
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  2. A. K. Gupta
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  3. Y. Fujikoshi
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Sheena, Y., Gupta, A.K. & Fujikoshi, Y. Estimation of the eigenvalues of noncentrality parameter in matrix variate noncentral beta distribution. Ann Inst Stat Math 56, 101–125 (2004). https://doi.org/10.1007/BF02530527

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  • DOI: https://doi.org/10.1007/BF02530527

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