Estimation of the location parameter of the ℓ1-norm symmetric matrix variate distributions

✍ Scribed by B.Q. Fang

• Publisher: Elsevier Science
• Year: 2002
• Tongue: English
• Weight: 137 KB
• Volume: 57
• Category: Article
• ISSN: 0167-7152
• DOI: 10.1016/s0167-7152(02)00060-3

✦ Synopsis

An identity of integrals for the ' 1 -norm symmetric matrix variate distributions with unknown common location parameter and unknown and possibly unequal scale parameters of the columns is established. An unbiased estimator for the location parameter is obtained and is shown to dominate the maximum likelihood estimator under the squared error loss. Under certain conditions this unbiased estimator is the uniformly minimum variance unbiased estimator.