Abstract.
The trace of the scaled covariance matrix of the multivariate t-distribution is considered for estimation using a power transformation. The proposed estimator always dominates the usual maximum likelihood estimator in the sense of having smaller risk under a quadratic loss function. The dominance behaviour is proved analytically as well as computationally by using Monte-Carlo simulation.
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Joarder, A., Singh, S. Estimation of the trace of the scaled covariance matrix of a multivariate t-model using a known information. Metrika 54, 53–58 (2001). https://doi.org/10.1007/PL00003990
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DOI: https://doi.org/10.1007/PL00003990