TY - BOOK
T1 - Estimation of banded covariance matrices in a multivariate normal distribution
AU - Andrushchenko, Zhanna
AU - von Rosen, Dietrich
AU - Ohlson, Martin
PY - 2008
Y1 - 2008
N2 - 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
AB - 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
UR - https://res.slu.se/id/publ/18109
UR - http://biostochastics.slu.se/publikationer/dokument/Report2008_2.pdf
M3 - Report
T3 - Research report (Centre of Biostochastics)
BT - Estimation of banded covariance matrices in a multivariate normal distribution
PB - Centre of Biostochastics, Swedish University of Agricultural Sciences
ER -