Intrinsic covariance matrix estimation for multivariate elliptical distributions

Volume: 162, Pages: 108774
Published: Jul 1, 2020
Abstract
null null The property of statistical models not depending on the coordinate systems or model parametrization is one main interest of intrinsic inference in statistics. The intrinsic covariance matrix estimation is addressed for multivariate elliptical distributions in this paper. An optimal intrinsic covariance estimator is derived in the sense of minimizing the mean square Rao distance, and proved to own intrinsic unbiasedness. Specifically,...
Paper Details
Title
Intrinsic covariance matrix estimation for multivariate elliptical distributions
Published Date
Jul 1, 2020
Volume
162
Pages
108774
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