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Estimation of the eigenvalues of noncentrality parameter matrix in noncentral Wishart distribution

Author

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  • Gupta, A. K.
  • Sheena, Y.
  • Fujikoshi, Y.

Abstract

We consider the problem of estimating the eigenvalues of noncentrality parameter matrix in noncentral Wishart distribution when the scale parameter is known. A decision theoretic approach is taken with squared error as the loss function. We propose two new estimators and show their superior performance to an usual estimator theoretically and numerically.

Suggested Citation

  • Gupta, A. K. & Sheena, Y. & Fujikoshi, Y., 2005. "Estimation of the eigenvalues of noncentrality parameter matrix in noncentral Wishart distribution," Journal of Multivariate Analysis, Elsevier, vol. 93(1), pages 1-20, March.
    • Handle: RePEc:eee:jmvana:v:93:y:2005:i:1:p:1-20
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    References listed on IDEAS

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    1. Leung, Pui Lam, 1994. "An identity for the noncentral wishart distribution with application," Journal of Multivariate Analysis, Elsevier, vol. 48(1), pages 107-114, January.
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    Cited by:

    1. Taras Bodnar & Arjun Gupta, 2013. "An exact test for a column of the covariance matrix based on a single observation," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(6), pages 847-855, August.
    2. Siotani, Minoru & Wakaki, Hirofumi, 2006. "Contributions to multivariate analysis by Professor Yasunori Fujikoshi," Journal of Multivariate Analysis, Elsevier, vol. 97(9), pages 1914-1926, October.

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