Estimation of the trace of the scaled covariance matrix of a multivariate t-model using a known information

Abstract

The trace of the scaled covariance matrix of the multivariate t-distribution is considered for estimation using a power transformation. The proposed estimator always dominates the usual maximum likelihood estimator in the sense of having smaller risk under a quadratic loss function. The dominance behavior is proved analytically as well as computationally by using Monte-Carlo simulation.