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

• Andrushchenko, Zhanna

  • Department of Energy and Technology, Swedish University of Agricultural Sciences
    

• von Rosen, Dietrich

  • 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