Estimation under the matrix variate elliptical model

dc.contributor.authorVan Niekerk, Janet
dc.contributor.authorBekker, Andriette, 1958-
dc.contributor.authorArashi, Mohammad
dc.contributor.authorDe Waal, Duan J.31cca2cb-0f0b-4ea7-a9c1-9711569804a7
dc.contributor.emailjanet.vanniekerk@up.ac.zaen_ZA
dc.date.accessioned2016-07-27T07:31:34Z
dc.date.available2016-07-27T07:31:34Z
dc.date.issued2016
dc.description.abstractThe 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.departmentStatisticsen_ZA
dc.description.librarianam2016en_ZA
dc.description.sponsorshipThe National Research foundation, Grant (Re:CPRR3090132066 No 91497).en_ZA
dc.description.urihttp://www.sastat.org.za/journal/informationen_ZA
dc.description.urihttp://reference.sabinet.co.za/sa_epublication/sasjen_ZA
dc.identifier.citationVan 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.issn0038-271X
dc.identifier.urihttp://hdl.handle.net/2263/56047
dc.language.isoenen_ZA
dc.publisherSouth African Statistical Associationen_ZA
dc.rightsSouth African Statistical Associationen_ZA
dc.subjectBayesian inferenceen_ZA
dc.subjectBessel function of matrix argumenten_ZA
dc.subjectCharacteristic matrixen_ZA
dc.subjectMatrix variate elliptical modelen_ZA
dc.subjectMaximum posterior modeen_ZA
dc.subjectNormal-inverse Wisharten_ZA
dc.subjectNormal-Wisharten_ZA
dc.subjectSquared error lossen_ZA
dc.titleEstimation under the matrix variate elliptical modelen_ZA
dc.typeArticleen_ZA

Files

Original bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
VanNiekerk_Estimation_2016.pdf
Size:
403.22 KB
Format:
Adobe Portable Document Format
Description:
Article

License bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
license.txt
Size:
1.75 KB
Format:
Item-specific license agreed upon to submission
Description: