Estimation under the matrix variate elliptical model

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dc.contributor.author Van Niekerk, Janet
dc.contributor.author Bekker, Andriette, 1958-
dc.contributor.author Arashi, Mohammad
dc.contributor.author De Waal, Duan J.31cca2cb-0f0b-4ea7-a9c1-9711569804a7
dc.date.accessioned 2016-07-27T07:31:34Z
dc.date.available 2016-07-27T07:31:34Z
dc.date.issued 2016
dc.description.abstract The problem of estimation within the matrix variate elliptical model is addressed. In this paper a subjective Bayesian approach is followed to derive new estimators for the parameters of the matrix variate elliptical model by assuming the previously intractable normal-Wishart prior. These new estimators are compared to the estimators derived under a normal-inverse Wishart prior as well as the objective Jeffreys’ prior which results in the maximum likelihood estimators, using different measures. A valuable contribution is the development of algorithms for the simulation of the posterior distributions of the matrix variate parameters with emphasis on the new proposed estimators. A simulation study as well as Fisher’s Iris data set are used to illustrate the novelty of these new estimators and to investigate the accuracy gained by assuming the normal-Wishart prior. en_ZA
dc.description.department Statistics en_ZA
dc.description.librarian am2016 en_ZA
dc.description.sponsorship The National Research foundation, Grant (Re:CPRR3090132066 No 91497). en_ZA
dc.description.uri http://www.sastat.org.za/journal/information en_ZA
dc.description.uri http://reference.sabinet.co.za/sa_epublication/sasj en_ZA
dc.identifier.citation Van Niekerk, J, Bekker, A & Arashi, M 2016, 'Estimation under the matrix variate elliptical model', South African Statistical Journal, vol. 50, no. 1, pp. 189-171. en_ZA
dc.identifier.issn 0038-271X
dc.identifier.uri http://hdl.handle.net/2263/56047
dc.language.iso en en_ZA
dc.publisher South African Statistical Association en_ZA
dc.rights South African Statistical Association en_ZA
dc.subject Bayesian inference en_ZA
dc.subject Bessel function of matrix argument en_ZA
dc.subject Characteristic matrix en_ZA
dc.subject Matrix variate elliptical model en_ZA
dc.subject Maximum posterior mode en_ZA
dc.subject Normal-inverse Wishart en_ZA
dc.subject Normal-Wishart en_ZA
dc.subject Squared error loss en_ZA
dc.title Estimation under the matrix variate elliptical model en_ZA
dc.type Article en_ZA


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