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- Title
More on explicit estimators for a banded covariance matrix.
- Authors
KARLSSON, EMIL; SINGULL, MARTIN
- Abstract
The problem of estimating mean and covariances of a multivariate normally distributed random vector has been studied in many forms. This paper focuses on the estimators proposed by Ohlson et al. (2011) for a banded covariance structure with m-dependence. We rewrite the estimator when m = 1, which makes it easier to analyze. This leads to an adjustment, and an unbiased estimator can be proposed. A new and easier proof of consistency is then presented. This theory is also generalized to a general linear model where the corresponding theorems and propositions are stated to establish unbiasedness and consistency.
- Subjects
COVARIANCE matrices; TOEPLITZ matrices; REGRESSION analysis; GAUSSIAN distribution; MARKOV processes
- Publication
Acta et Commentationes Universitatis Tartuensis de Mathematica, 2015, Vol 19, Issue 1, p49
- ISSN
1406-2283
- Publication type
Article
- DOI
10.12697/ACUTM.2015.19.05