Closed-form estimator for the matrix-variate Gamma distribution

DOI10.1090/tpms/1138zbMath1469.62264OpenAlexW3171848508MaRDI QIDQ5003660

Gustav Alfelt

Publication date: 22 July 2021

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tpms/1138

zbMATH Keywords

asymptotic distributionmaximum likelihood methodestimation errornear-singular matrices

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12)

Cites Work

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• The conditional autoregressive Wishart model for multivariate stock market volatility
• Modeling and forecasting realized covariance matrices with accounting for leverage
• Goodness-of-fit tests for centralized Wishart processes
• Stein–Haff identity for the exponential family
• On Inverted Matrix Variate Gamma Distribution
• Closed-Form Estimators for the Gamma Distribution Derived From Likelihood Equations

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