Estimation of eigenvalues of the scale matrix of the multivariate f distribution |
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| Authors: | Pui Lam Leung |
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| Institution: | Department of Statistics , The Chinese University of Hong Kong , Hong Kong, Shatin |
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| Abstract: | Let F have the multivariate F distribution with a scale matrix Δ. In this paper, the problem of estimating the eigenvalues of the scale matrix Δ is considered. New class of estimators are obtained which dominate the best linear estimator of the form cF. Simulation study is also carried out to compare the performance of these estimators. |
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| Keywords: | eigenvalues Multivariate F distribution decision theoretic estimation orthogonally invariant estimators |
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