Generalized variance estimators in the multivariate gamma modelsReport as inadecuate

Generalized variance estimators in the multivariate gamma models - Download this document for free, or read online. Document in PDF available to download.

1 LMAP - Laboratoire de Mathématiques et de leurs Applications Pau

Abstract : It has been shown that the uniformly minimum variance unbiased UMVU estimator of the generalized variance always exists for any natural exponential family. In practice, however, this estimator is often difficult to obtain. This paper explicitly identifies the results in complete bivariate and symmetric multivariate gamma models, which are diagonal quadratic exponential families. For the non-independent multivariate gamma models, it is then pointed out that the UMVU and the maximum likelihood estimators are not proportional as conjectured for models belonging in certain quadratic exponential families.

keyword : Determinant Diagonal variance function Maximum likelihood estimator Natural exponential family UMVU estimator

Author: Philippe Bernadoff - Célestin Kokonendji - Bénédicte Puig -



Related documents