{"title":"Closed-form estimator for the matrix-variate Gamma distribution","authors":"Gustav Alfelt","doi":"10.1090/TPMS/1138","DOIUrl":null,"url":null,"abstract":"In this paper we present a novel closed-form estimator for the parameters of the matrixvariate gamma distribution. The estimator relies on the moments of a transformation of the observed matrices, and is compared to the maximum likelihood estimator (MLE) through a simulation study. The study reveals that the suggested estimator outperforms the MLE, in terms of estimation error, when the underlying scale matrix parameter is ill-conditioned or when the shape parameter is close to its lower bound. In addition, since the suggested estimator is closed-form, it does not require numerical optimization as the MLE does, thus needing shorter computation time and is furthermore not subject to start value sensitivity or convergence issues. Finally, using the proposed estimator as start value in the optimization procedure of the MLE is shown to substantially reduce computation time, in comparison to using arbitrary start values.","PeriodicalId":42776,"journal":{"name":"Theory of Probability and Mathematical Statistics","volume":null,"pages":null},"PeriodicalIF":0.4000,"publicationDate":"2021-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Theory of Probability and Mathematical Statistics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1090/TPMS/1138","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
引用次数: 1
Abstract
In this paper we present a novel closed-form estimator for the parameters of the matrixvariate gamma distribution. The estimator relies on the moments of a transformation of the observed matrices, and is compared to the maximum likelihood estimator (MLE) through a simulation study. The study reveals that the suggested estimator outperforms the MLE, in terms of estimation error, when the underlying scale matrix parameter is ill-conditioned or when the shape parameter is close to its lower bound. In addition, since the suggested estimator is closed-form, it does not require numerical optimization as the MLE does, thus needing shorter computation time and is furthermore not subject to start value sensitivity or convergence issues. Finally, using the proposed estimator as start value in the optimization procedure of the MLE is shown to substantially reduce computation time, in comparison to using arbitrary start values.