Explicit estimators under m-dependence for a multivariate normal distribution

被引：4

作者：

Ohlson, Martin ^{[1
]}

Andrushchenko, Zhanna ^{[2
]}

von Rosen, Dietrich ^{[2
]}

机构：

[1] Linkoping Univ, S-58183 Linkoping, Sweden

[2] Swedish Univ Agr Sci, S-75007 Uppsala, Sweden

来源：

ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS | 2011年 / 63卷 / 01期

基金：

瑞典研究理事会;

关键词：

Banded covariance matrices; Covariance matrix estimation; Explicit estimators; Multivariate normal distribution; LIKELIHOOD RATIO TEST; COVARIANCE; MATRICES;

D O I：

10.1007/s10463-008-0213-1

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The problem of estimating parameters of a multivariate normal p-dimensional random vector is considered for a banded covariance structure reflecting in-dependence. A simple non-iterative estimation procedure is suggested which gives an explicit, unbiased and consistent estimator of the mean and an explicit and consistent estimator of the covariance matrix for arbitrary p and in.

引用

页码：29 / 42

页数：14

共 26 条

[1] DISTRIBUTION OF EIGENVALUES IN MULTIVARIATE STATISTICAL-ANALYSIS [J].