华东师范大学学报(自然科学版) ›› 2004, Vol. 2004 ›› Issue (1): 40-44.

• 数学 统计学 • 上一篇    下一篇

协方差矩阵的MINQUE和简单估计的比较

艾摩尔   

  1. 华东师范大学统计系,上海 200062
  • 收稿日期:2002-09-04 修回日期:2002-11-11 出版日期:2004-03-25 发布日期:2004-03-25
  • 通讯作者: 艾摩尔

Comparison of MINQUE and Simple Estimator of Covariance Matrix

Abdul-Hussein Saber AL MODEL   

  1. Department of Statistics,East China Normal Unitxrsity, Shanghai 200062, China
  • Received:2002-09-04 Revised:2002-11-11 Online:2004-03-25 Published:2004-03-25
  • Contact: Abdul-Hussein Saber AL MODEL

摘要: 在二次损失函数下,作者研究了多元线性模型协方差矩阵的MINQUE估计和简单估计的比较问题,其中多元线性模型的设计矩阵和离散矩阵可以不满秩,得到了一个充分和必要条件。

关键词: 多元性模型, MINQUE估计, 风险, 二次损失函数, 多元性模型, MINQUE估计, 风险, 二次损失函数

Abstract: This paper considers comparison of MINQUE and simple estimator of ∑ in the multivariate normal linear model Y~N(XB,∑⊙V) under the risk of squared loss function criterion, where the design matrix X need not have full rank and the dispersion matrix V can be singular. A necessary and sufficient condition is obtained.

Key words: MINQUE, risk, squared loss function, multivariate linear model, MINQUE, risk, squared loss function

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