Estimates of low bias for the multivariate normal
Given a sample from a multivariate normal with mean , a method is given for obtaining estimates with low bias for a function of the parameters. When the function is a product of positive powers of the parameters, an unbiased estimate is available. Estimates of ratios like [mu]1/[mu]2 are given with bias ~n-5, where n is the sample size. Simulation studies show superior performance of these estimates versus traditional ones.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 81 (2011)
Issue (Month): 11 (November)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Misra, Neeraj & Singh, Harshinder & Demchuk, Eugene, 2005. "Estimation of the entropy of a multivariate normal distribution," Journal of Multivariate Analysis, Elsevier, vol. 92(2), pages 324-342, February.
- Yanagihara, Hirokazu, 2006. "Corrected version of AIC for selecting multivariate normal linear regression models in a general nonnormal case," Journal of Multivariate Analysis, Elsevier, vol. 97(5), pages 1070-1089, May.
- Zografos, K. & Nadarajah, S., 2005. "Expressions for Rényi and Shannon entropies for multivariate distributions," Statistics & Probability Letters, Elsevier, vol. 71(1), pages 71-84, January.
- Hutson, Alan D., 2002. "Quasi-medians are robust and relatively efficient estimators of a common mean given multivariate normality," Statistics & Probability Letters, Elsevier, vol. 57(4), pages 403-408, May.
- Kollo, T. & Vonrosen, D., 1995. "Minimal Moments and Cumulants of Symmetric Matrices: An Application to the Wishart Distribution," Journal of Multivariate Analysis, Elsevier, vol. 55(2), pages 149-164, November.
- Sun, Dongchu & Sun, Xiaoqian, 2006. "Estimation of multivariate normal covariance and precision matrices in a star-shape model with missing data," Journal of Multivariate Analysis, Elsevier, vol. 97(3), pages 698-719, March.
- Dongchu Sun & Xiaoqian Sun, 2005. "Estimation of the multivariate normal precision and covariance matrices in a star-shape model," Annals of the Institute of Statistical Mathematics, Springer, vol. 57(3), pages 455-484, September.
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:81:y:2011:i:11:p:1635-1647. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.