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

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

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
    

Permanent link to this page (URI)

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