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Estimates of low bias for the multivariate normal

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  • Withers, Christopher S.
  • Nadarajah, Saralees

Abstract

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.

Suggested Citation

  • Withers, Christopher S. & Nadarajah, Saralees, 2011. "Estimates of low bias for the multivariate normal," Statistics & Probability Letters, Elsevier, vol. 81(11), pages 1635-1647, November.
    • Handle: RePEc:eee:stapro:v:81:y:2011:i:11:p:1635-1647
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    References listed on IDEAS

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    1. 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.
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    5. 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;The Institute of Statistical Mathematics, vol. 57(3), pages 455-484, September.
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    7. 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.
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    Cited by:

    1. Carlos A. Medel & Pablo M. Pincheira, 2016. "The out-of-sample performance of an exact median-unbiased estimator for the near-unity AR(1) model," Applied Economics Letters, Taylor & Francis Journals, vol. 23(2), pages 126-131, February.

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