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Estimation of the location parameter of the l1-norm symmetric matrix variate distributions


  • Fang, B. Q.


An identity of integrals for the l1-norm symmetric matrix variate distributions with unknown common location parameter and unknown and possibly unequal scale parameters of the columns is established. An unbiased estimator for the location parameter is obtained and is shown to dominate the maximum likelihood estimator under the squared error loss. Under certain conditions this unbiased estimator is the uniformly minimum variance unbiased estimator.

Suggested Citation

  • Fang, B. Q., 2002. "Estimation of the location parameter of the l1-norm symmetric matrix variate distributions," Statistics & Probability Letters, Elsevier, vol. 57(3), pages 269-280, April.
  • Handle: RePEc:eee:stapro:v:57:y:2002:i:3:p:269-280

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    References listed on IDEAS

    1. Lavergne, Pascal & Vuong, Quang H, 1996. "Nonparametric Selection of Regressors: The Nonnested Case," Econometrica, Econometric Society, vol. 64(1), pages 207-219, January.
    2. Fan, Yanqin & Li, Qi, 1996. "Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms," Econometrica, Econometric Society, vol. 64(4), pages 865-890, July.
    3. Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-1458, November.
    4. Hong, Yongmiao & White, Halbert, 1995. "Consistent Specification Testing via Nonparametric Series Regression," Econometrica, Econometric Society, vol. 63(5), pages 1133-1159, September.
    5. Horowitz, Joel L. & Härdle, Wolfgang, 1994. "Testing a Parametric Model Against a Semiparametric Alternative," Econometric Theory, Cambridge University Press, vol. 10(05), pages 821-848, December.
    6. Hall, Peter, 1984. "Central limit theorem for integrated square error of multivariate nonparametric density estimators," Journal of Multivariate Analysis, Elsevier, vol. 14(1), pages 1-16, February.
    7. Bierens, Herman J., 1982. "Consistent model specification tests," Journal of Econometrics, Elsevier, vol. 20(1), pages 105-134, October.
    8. Kozek, Andrzej S., 1991. "A nonparametric test of fit of a parametric model," Journal of Multivariate Analysis, Elsevier, vol. 37(1), pages 66-75, April.
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