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Report, 2008

Explicit estimators of the parameters in a multivariate normal distribution when the covariance matrix is banded of order m. Research Report, Centre of Biostochastics, Swedish University of Agricultural Sciences. Report 2008:3

Ohlson Martin, Andrushchenko Zhanna, von Rosen Dietrich

Abstract

The problem of estimation parameters of a multivariate p-dimensional random vector is considered for a banded covariance structure under m-dependence. A simple non-iterative estimation procedure is suggested which gives explicit, unbiased and consistent estimator of the mean and explicit and consistent estimator of the covariance matrix for arbitrary p and m

Published in

Research report (Centre of Biostochastics)
2008, number: 2008:3
Publisher: Centre of Biostochastics, Swedish University of Agricultural Sciences

Authors' information

Andrushchenko, Zhanna
Swedish University of Agricultural Sciences, Department of Energy and Technology
Swedish University of Agricultural Sciences, Department of Energy and Technology
Ohlson, Martin

URI (permanent link to this page)

https://res.slu.se/id/publ/18110