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Estimation of the eigenvalues of noncentrality parameter in matrix variate noncentral beta distribution |
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| Authors: | Yo Sheena A K Gupta Y Fujikoshi |
| Institution: | (1) Department of Mathematics and Statistics, Bowling Green State University, 43403 Bowling Green, OH, USA;(2) Department of Mathematics, Graduate School of Science, Hiroshima University, Higashi Hiroshima, 739-8526 Hiroshima, Japan;(3) Present address: Department of Economics, Shinshu University, Asahi 3-1-1, Matsumoto, 390-8621 Nagano, Japan |
| Abstract: | We consider the problem of estimating the eigenvalues of noncentrality parameter matrix in a matrix variate noncentral beta distribution, also known as multivariate noncentral F distribution. A decision theoretic approach is taken with square error as the loss function. We propose two types of new estimators and show their superior performance theoretically as well as numerically. |
| Keywords: | Unbiased estimator empirical Bayes estimator zonal polynomial orthogonally invariant estimator Monte Carlo simulations |
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