Minimum Variance Quadratic Unbiased Estimators as a Tool to Identify Compound Normal Distributions

Jean-Daniel Rolle

Working Papers from Ecole des Hautes Etudes Commerciales, Universite de Geneve-

Abstract: We drive the minimum variance quadratic unbiased estimator (MIVQUE) of the variance of the components of a random vector having a compound normal distribution (CND). We show that the MIVQUE converges in probability to a random variable whose distribution is essentially the mixing distribution characterising the CND.

Keywords: LINEAR MODELS; REGRESSION ANALYSIS (search for similar items in EconPapers)
JEL-codes: C10 C14 C15 (search for similar items in EconPapers)
Pages: 5 pages
Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:fth:ehecge:96.25

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