Andrushchenko, Zhanna
- Department of Energy and Technology, Swedish University of Agricultural Sciences
Abstract
The estimation of parameters of a multivariate p-dimensional random vector is considered for a banded covariance structure under the constrain that the covariances \sigma_{ij} = 0 for |i-j| > 1. Explicit analytical estimators for the mean and the covariance matrix are presented. The estimators are unbiased and consistent for the mean and consistent for the covariance matrix. Likelihood based tests which are asymptotically equivalent to likelihood ratio tests are presented and hypotheses for covariance matrices are tested
Published in
Research report (Centre of Biostochastics)
2008, number: 2008:2
Publisher: Centre of Biostochastics, Swedish University of Agricultural Sciences
SLU Authors
von Rosen, Dietrich
- Department of Energy and Technology, Swedish University of Agricultural Sciences
- Department of Energy and Technology, Swedish University of Agricultural Sciences
UKÄ Subject classification
Agricultural Science
Permanent link to this page (URI)
https://res.slu.se/id/publ/18109