Generalized variance estimators in the multivariate gamma models

DOI10.3103/S1066530708010055zbMath1282.62039OpenAlexW2139867351MaRDI QIDQ1019527

Bénédicte Puig, Célestin C. Kokonendji, Philippe Bernardoff

Publication date: 2 June 2009

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s1066530708010055

zbMATH Keywords

UMVU estimatormaximum likelihood estimatornatural exponential familydiagonal variance function

Mathematics Subject Classification ID

Multivariate analysis (62H99) Estimation in multivariate analysis (62H12) Point estimation (62F10)

Related Items (6)

A complete characterization of multivariate normal stable Tweedie models through a Monge-Ampère property ⋮ On the Monge-Ampère equation for characterizing gamma-Gaussian model ⋮ Construction of multivariate dispersion models ⋮ Characterization of multinomial exponential families by generalized variance ⋮ Generalized variance functions for infinitely divisible mixture distributions ⋮ On normal stable Tweedie models and power-generalized variance functions of only one component

Cites Work

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• The \(2d+4\) simple quadratic natural exponential families on \(\mathbb{R}^ d\)
• A construction of the UMVU estimator for simple quadratic natural exponential families
• Comparing UMVU and ML estimators of the generalized variance for natural exponential families

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