SPECTRUM AND TRACE INVARIANCE CRITERION AND ITS STATISTICAL APPLICATIONS

被引：7

作者：

BAKSALARY, JK ^{[1
]}

PUNTANEN, S ^{[1
]}

机构：

[1] UNIV TAMPERE,DEPT MATH SCI,SF-33101 TAMPERE,FINLAND

来源：

LINEAR ALGEBRA AND ITS APPLICATIONS | 1990年 / 142卷

基金：

芬兰科学院;

关键词：

D O I：

10.1016/0024-3795(90)90260-J

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Necessary and sufficient conditions are established for the set of nonzero eigenvalues of the product B-A to be invariant with respect to the choice of a generalized inverse B-. It turns out that the same conditions constitute a criterion for the invariance of trace(B-A). The algebraic result derived is then applied to investigate some properties of canonical correlations in the context of the general Gauss-Markov model M = {Y,Xβ,σ2V}. In particular, the results of Watson (1967) and Puntanen (1987) are generalized, and a new characterization of the best linear unbiased estimator of Xβ under the model M is established. © 1990.

引用

页码：121 / 128

页数：8

共 20 条

[1]

Baksalary J.K., 1983, LINEAR MULTILINEAR A, V14, P89

[2] MEAN-SQUARE ERROR MATRIX IMPROVEMENTS AND ADMISSIBILITY OF LINEAR ESTIMATORS [J].