1. Doubly reweighted estimators for the parameters of the multivariate t-distribution.
- Author
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Doğru, Fatma Zehra, Bulut, Y. Murat, and Arslan, Olcay
- Subjects
- *
MULTIVARIATE analysis , *PARAMETER estimation , *MAXIMUM likelihood detection , *EXPECTATION-maximization algorithms , *DATA analysis - Abstract
The t-distribution (univariate and multivariate) has many useful applications in robust statistical analysis. The parameter estimation of the t-distribution is carried out using maximum likelihood (ML) estimation method, and the ML estimates are obtained via the Expectation-Maximization (EM) algorithm. In this article, we will use the maximum Lq-likelihood (MLq) estimation method introduced by Ferrari and Yang (
2010 ) to estimate all the parameters of the multivariate t-distribution. We modify the EM algorithm to obtain the MLq estimates. We provide a simulation study and a real data example to illustrate the performance of the MLq estimators over the ML estimators. [ABSTRACT FROM AUTHOR]- Published
- 2018
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