✦ LIBER ✦
Minimum variance quadratic unbiased estimators as a tool to identify compound normal distributions
✍ Scribed by Jean-Daniel Rolle
- Book ID
- 104338822
- Publisher
- Elsevier Science
- Year
- 1999
- Tongue
- English
- Weight
- 526 KB
- Volume
- 102
- Category
- Article
- ISSN
- 0377-0427
No coin nor oath required. For personal study only.
✦ Synopsis
We derive the minimum variance quadratic unbiased estimator (MIVQUE) of the variance of the components of a random vector having a compound normal distribution (CND). We show that the MIVQUE converges in probability to a random variable whose distribution is essentially the mixing distribution characterising the CND. This fact is very important, because the MIVQUE allows us to make out the signature of a particular CND, and notably allows us to check if an hypothesis of normality for multivariate observations ~1,. . . , ye is plausible.