The distribution of a generalized least squares estimator with covariance adjustment

M. G. Kenward

Journal of Multivariate Analysis, 1986, vol. 20, issue 2, 244-250

Abstract: The distribution theory is developed for a generalized least squares estimator of the growth curve model. A special case of the estimator is the maximum likelihood estimator which is weighted by the sample covariance matrix. The distribution of two conditional forms of the estimator are derived and from these its density is obtained. Two general pivots and their distributions are derived from the conditional forms and special cases of these are investigated. The results obtained are linked to carlier work.

Keywords: analysis; of; covariance; conditional; model; generalized; least; squares; growth; curve; model; matrix-variate; distribution (search for similar items in EconPapers)
Date: 1986
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Citations: View citations in EconPapers (1)

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