Estimation of variance and covariance components--MINQUE theory

C. Radhakrishna Rao

Journal of Multivariate Analysis, 1971, vol. 1, issue 3, 257-275

Abstract: The paper consists of two parts. The first part deals with solutions to some optimization problems. The general problem is one of minimssing Tr AVA'U, where V and U are positive definite matrices when the elements of the matrix are subject to linear restrictions of the type AX = O or X'AX = O and trace AVi = pi, i = 1,..., k, or U1'AU1 + ... + Uk'AUk = M. These results are used in determining Minimum Norm Quadratic Unbiased Estimators (MINQUE) of variance and covariance components in linear models. The present paper is a generalization of an earlier attempt by the author to obtain estimators of heteroscedastic variances in a regression model. The method is quite general, applicable to all experimental situations, and the computations are simple.

Keywords: Estimation; variance; components; covariance; components; MINQUE; theory (search for similar items in EconPapers)
Date: 1971
References: Add references at CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0047-259X(71)90001-7
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:1:y:1971:i:3:p:257-275

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().