The estimation of a multivariate linear relation

P. M. Robinson

Journal of Multivariate Analysis, 1977, vol. 7, issue 3, 409-423

Abstract: A multivariate linear relation [eta]n = [beta]0[xi]n is considered, in which [xi]n and [eta]n are observed subject to white noise errors, with covariance matrices [sigma]0, [omega]0 respectively. If their elements lie in the null space of a suitable vector function, [beta]0, [sigma]0, [omega]0 may be uniquely defined by second-order functions of the data. The asymptotic properties of estimates of [beta]0, [sigma]0, [omega]0 are established under relatively mild conditions. We explore the possibility that explicit formulas for consistent estimates of [beta]0, [sigma]0, [omega]0 may be available.

Keywords: Multivariate; relation; errors-in-variables; maximum; likelihood; estimation; martingale; limit; theorems (search for similar items in EconPapers)
Date: 1977
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Citations: View citations in EconPapers (2)

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