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Report, 2008

Estimation of banded covariance matrices in a multivariate normal distribution

Andrushchenko, Zhanna; Ohlson, Martin; von, Rosen Dietrich


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