A geometric approach of the generalized least-squares estimation in analysis of covariance structures

S. J. Wang and Sik-Yum Lee

Statistics & Probability Letters, 1995, vol. 24, issue 1, 39-47

Abstract: In this paper, the generalized least-squares estimation of the covariance structure model is studied from a geometrical point of view. General definitions of the intrinsic curvature and the parameter-effect curvature are defined for the model. Based on the general result, the second-order approximations of the bias and the covariance matrix of the generalized least-squares estimator are established. The information loss of the estimator is also computed under the multivariate normal assumption.

Keywords: Generalized; least; squares; Intrinsic; curvature; Parameter-effect; curvature; Bias; Covariance; matrix; Information; loss (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (1)

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