More on explicit estimators for a banded covariance matrix
E Karlsson, M Singull - Acta et Commentationes Universitatis Tartuensis …, 2015 - ojs.utlib.ee
Acta et Commentationes Universitatis Tartuensis de Mathematica, 2015•ojs.utlib.ee
The problem of estimating mean and covariances of a multivariate normally distributed
random vector has been studied in many forms. This paper focuses on the estimators
proposed by Ohlson et al.(2011) for a banded covariance structure with m-dependence. We
rewrite the estimator when m= 1, which makes it easier to analyze. This leads to an
adjustment, and an unbiased estimator can be proposed. A new and easier proof of
consistency is then presented.
random vector has been studied in many forms. This paper focuses on the estimators
proposed by Ohlson et al.(2011) for a banded covariance structure with m-dependence. We
rewrite the estimator when m= 1, which makes it easier to analyze. This leads to an
adjustment, and an unbiased estimator can be proposed. A new and easier proof of
consistency is then presented.
Abstract
The problem of estimating mean and covariances of a multivariate normally distributed random vector has been studied in many forms. This paper focuses on the estimators proposed by Ohlson et al.(2011) for a banded covariance structure with m-dependence. We rewrite the estimator when m= 1, which makes it easier to analyze. This leads to an adjustment, and an unbiased estimator can be proposed. A new and easier proof of consistency is then presented.
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