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Asymptotic Properties of the Estimators for Multivariate Components of Variance

✍ Scribed by S. Remadi; Y. Amemiya

Publisher: Elsevier Science
Year: 1994
Tongue: English
Weight: 736 KB
Volume: 49
Category: Article
ISSN: 0047-259X
DOI: 10.1006/jmva.1994.1017

No coin nor oath required. For personal study only.

✦ Synopsis

Estimation of the covariance matrices in the multivariate balanced one-way random effect model is discussed. The rank of the between-group covariance matrix plays a large role in model building as well as in assessing asymptotic properties of the estimated covariance matrices. The restricted (residual) maximum likelihood estimators derived under a rank condition are considered. Asymptotic properties of the estimators are derived for a possibly incorrectly specified rank and under either the number of groups, the number of replicates, or both, tending to infinity. A higher order expansion covering various cases leads to a common approximate inference procedure which can be used in a wide range of practical situations. A simulation study is also presented. 1994 Academic Press. Inc.

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