Estimation of the precision matrix of multivariate Pearson type II model

作者：Sarr Amadou^*; Gupta Arjun K; Joarder Anwar H

来源：Metrika, 2009, 69(1): 31-44.

DOI：10.1007/s00184-008-0172-9

• Multivariate Pearson type II-model
• Estimation of the precision matrix
• Quadratic loss
• Decision theoretic estimation

In this paper, the problem of estimating the precision matrix of a multivariate Pearson type II-model is considered. A new class of estimators is proposed. Moreover, the risk functions of the usual and the proposed estimators are explicitly derived. It is shown that the proposed estimator dominates the MLE and the unbiased estimator, under the quadratic loss function. A simulation study is carried out and confirms these results. Improved estimator of tr (I pound (-1)) is also obtained.

• 出版日期2009-1
• 单位中国石油大学（北京）