1. Explicit Estimators under m-Dependence for a Multivariate Normal Distribution
- Author
-
Martin Ohlson, Zhanna Andrushchenko, and Dietrich von Rosen
- Subjects
Statistics and Probability ,Wishart distribution ,Matematik ,Covariance function ,Multivariate random variable ,Estimator ,Multivariate normal distribution ,Covariance ,Estimation of covariance matrices ,Banded covariance matrices ,Covariance matrix estimation ,Explicit estimators ,Consistent estimator ,Statistics ,Applied mathematics ,Mathematics - Abstract
The problemof estimating parameters of amultivariate normal p-dimensional random vector is considered for a banded covariance structure reflecting mdependence. 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 m. Preliminary version published as Research Report 2008:3 at the Centre of Biostochastics Swedish University of Agricultural Sciences.The original publication is available at www.springerlink.com:Martin Ohlson, Zhanna Andrushchenko and Dietrich von Rosen, Explicit Estimators under m-Dependence for a Multivariate Normal Distribution, 2011, Annals of the Institute of Statistical Mathematics, (63), 1, 29-42.http://dx.doi.org/10.1007/s10463-008-0213-1Copyright: Springer Science Business Mediahttp://www.springerlink.com/
- Published
- 2011