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Maximum likelihood estimator of the scale parameter for the Riesz distribution

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  • Kammoun, Kaouthar
  • Louati, Mahdi
  • Masmoudi, Afif

Abstract

This paper deals with the study of the maximum likelihood estimator of the scale parameter for the Riesz distribution. This distribution represents a natural generalization of the Wishart distribution. We give an explicit formula of this estimator and we examine some related asymptotic properties.

Suggested Citation

  • Kammoun, Kaouthar & Louati, Mahdi & Masmoudi, Afif, 2017. "Maximum likelihood estimator of the scale parameter for the Riesz distribution," Statistics & Probability Letters, Elsevier, vol. 126(C), pages 127-131.
    • Handle: RePEc:eee:stapro:v:126:y:2017:i:c:p:127-131
    DOI: 10.1016/j.spl.2017.02.031
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    References listed on IDEAS

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    1. Tounsi, Mariem & Zine, Raoudha, 2012. "The inverse Riesz probability distribution on symmetric matrices," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 174-182.
    2. Andersson, Steen A. & Klein, Thomas, 2010. "On Riesz and Wishart distributions associated with decomposable undirected graphs," Journal of Multivariate Analysis, Elsevier, vol. 101(4), pages 789-810, April.
    3. Louati, Mahdi & Masmoudi, Afif, 2015. "Moment for the inverse Riesz distributions," Statistics & Probability Letters, Elsevier, vol. 102(C), pages 30-37.
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