Estimation of the precision matrix of multivariate Pearson type II model |
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| Authors: | Amadou Sarr Arjun K Gupta Anwar H Joarder |
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| Institution: | (1) Department of Mathematics and Statistics, Bowling Green State University, Bowling Green, OH 43403, USA;(2) Department of Mathematical Sciences, King Fhad University of Petroleum and Minerals, Dhahran, 31261, Saudi Arabia |
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| Abstract: | 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 (Σ
−1) is also obtained. |
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| Keywords: | Multivariate Pearson type II-model Estimation of the precision matrix Quadratic loss Decision theoretic estimation |
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