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Estimation of the characteristic roots of the scale matrix |
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| Authors: | Anwarul H. Joarder S. E. Ahmed |
| Affiliation: | (1) Department of Econometrics, Monash University, 3168 Clayton, Victoria, Australia;(2) Department of Mathematics and Statistics, University of Regina, S4S 0A2 Regina, Saskatchewan, Canada |
| Abstract: | The simultaneous estimation of the characteristic roots of the scale matrix of the multivariatet-model is considered. The improved estimation strategies are developed in the light of a quadratic loss function. It is demonstrated analytically and numerically that the class of proposed estimators outperforms the class of usual estimators in the sense of having smaller risk. |
| Keywords: | Characteristic roots multivariatet-distribution risk function |
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