Dirichlet分布和多元伽玛分布的矩型估计

Ioannis Oikonomidis, Samis Trevezas
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引用次数: 0

摘要

本文针对Dirichlet分布族和多元伽玛分布族的最大似然估计量不能显式导出的问题,提出了新的封闭估计量。该方法建立在Beta和Gamma分布的分数调整估计器上,扩展了它们对Dirichlet和多元Gamma分布的适用性。给出了渐近方差-协方差矩阵的表达式,证明了分数调整估计量优于传统矩量的性能。利用Dirichlet和多元伽玛分布之间建立的良好联系,介绍了后者的一类新的估计量,称为“基于Dirichlet的矩型估计量”。导出了该类估计量的一般渐近方差-协方差矩阵形式。为了促进这些创新估算器的应用,开发了一个名为estimators的Rpackage,并使其公开可用。
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Moment-Type Estimators for the Dirichlet and the Multivariate Gamma Distributions
This study presents new closed-form estimators for the Dirichlet and the Multivariate Gamma distribution families, whose maximum likelihood estimator cannot be explicitly derived. The methodology builds upon the score-adjusted estimators for the Beta and Gamma distributions, extending their applicability to the Dirichlet and Multivariate Gamma distributions. Expressions for the asymptotic variance-covariance matrices are provided, demonstrating the superior performance of score-adjusted estimators over the traditional moment ones. Leveraging well-established connections between Dirichlet and Multivariate Gamma distributions, a novel class of estimators for the latter is introduced, referred to as "Dirichlet-based moment-type estimators". The general asymptotic variance-covariance matrix form for this estimator class is derived. To facilitate the application of these innovative estimators, an R package called estimators is developed and made publicly available.
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