Displaying similar documents to “Estimation of the Scale Matrix of a Multivariate T-Model under Entropy Loss.”

Robust estimation in the multivariate normal model

Agnieszka Kulawik, Stefan Zontek (2016)

Discussiones Mathematicae Probability and Statistics

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Robust estimation presented in the following paper is based on Fisher consistent and Fréchet differentiable statistical functionals. The method has been used in the multivariate normal model with variance components [5]. To transfer the method to estimate vector of expectations and positive definite covariance matrix of the multivariate normal model it is required to express the covariance matrix as a linear combination of basic elements of the vector space of real, square and symmetric...