Estimation of variances in orthogonal finite discrete spectrum linear regression models

František Štulajter () and Viktor Witkovsky

Metrika: International Journal for Theoretical and Applied Statistics, 2004, vol. 60, issue 2, 105-118

Abstract: The Invariant Quadratic Estimators, the Maximum Likelihood Estimator (MLE) and Restricted Maximum Likelihood Estimator (REML) of variances in an orthogonal Finite Discrete Spectrum Linear Regression Model (FDSLRM) are derived and the problems of unbiasedness and consistency of these estimators are investigated. Copyright Springer-Verlag 2004

Keywords: Time series; finite discrete spectrum linear regression model; invariant quadratic estimators of variance components; maximum likelihood estimation; restricted maximum likelihood estimation (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1007/s001840300299

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