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Estimation of the Scale Matrix of a Multivariate t-Model

 

A.H. Joarder (1995). Estimation of the Scale Matrix of a Multivariate t-Model. Journal of Statistical Research, Vol. 29, No. 1, pp.  55-66.

 

Abstract

The scale matrix of a multivariate t-model has been estimated under a quadratic loss function. The exact risk functions of the usual estimator and the proposed estimator have been calculated. The Minimum Relative Risk (MRR) of the proposed estimator has been compared with the maximum likelihood estimator both analytically as well as computationally.

 

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