Linear Toeplitz covariance structure models with optimal estimators of variance components
β Scribed by Jean-Michel Marin; Thierry Dhorne
- Book ID
- 111714273
- Publisher
- Elsevier Science
- Year
- 2002
- Tongue
- English
- Weight
- 151 KB
- Volume
- 354
- Category
- Article
- ISSN
- 0024-3795
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π SIMILAR VOLUMES
The main purpose of this paper is to treat an unsolved problem discussed by S.K. Mitra (1977) concerning the solution of matrix equations which occur in the MINQUE theory of estimatin covariance components model of C.R. Rao (1972 3 covariance components in a . Canonical representation of a singular
Two types of recursive estimators are developed for the variance components 2 and 2 of the dynamic linear model: non-Bayesian and Bayesian. From a frequentist point of view, both types of estimators are mean square consistent. The non-Bayesian estimator of 2 is also unbiased.
In mixed linear models with two variance components, classes of estimators improving on ANOVA estimators for the variance components and the ratio of variances are constructed on the basis of the invariant statistics. Out of the classes, consistent, improved and positive estimators are singled out.