Andrushchenko, Zhanna
- Department of Energy and Technology, Swedish University of Agricultural Sciences
Abstract
The problem of estimating parameters of a multivariate normal p-dimensional random vector is considered for a banded covariance structure reflecting in-dependence. 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 in.
Keywords
Banded covariance matrices; Covariance matrix estimation; Explicit estimators; Multivariate normal distribution
Published in
Annals of the Institute of Statistical Mathematics
2011, volume: 63, number: 1, pages: 29-42
Publisher: SPRINGER HEIDELBERG
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
Probability Theory and Statistics
Publication identifier
- DOI: https://doi.org/10.1007/s10463-008-0213-1
Permanent link to this page (URI)
https://res.slu.se/id/publ/57944