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Explicit Estimators for a Banded Covariance Matrix in a Multivariate Normal Distribution
Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
2014 (English)Independent thesis Basic level (degree of Bachelor), 10,5 credits / 16 HE creditsStudent thesis
Abstract [en]

The problem of estimating mean and covariances of a multivariate normal distributedrandom vector has been studied in many forms. This thesis focuses on the estimatorsproposed in [15] for a banded covariance structure with m-dependence. It presents theprevious results of the estimator and rewrites the estimator when m = 1, thus makingit easier to analyze. This leads to an adjustment, and a proposition for an unbiasedestimator can be presented. A new and easier proof of consistency is then presented.This theory is later generalized into a general linear model where the correspondingtheorems and propositions are made to establish unbiasedness and consistency. In thelast chapter some simulations with the previous and new estimator verifies that thetheoretical results indeed makes an impact.

Place, publisher, year, edition, pages
2014. , 45 p.
Keyword [en]
Banded covariance matrices, Covariance matrix estimation, Explicit estimators, Multivariate normal distribution, general linear model.
National Category
URN: urn:nbn:se:liu:diva-107194ISRN: LiTH-MAT-EX--2014/01--SEOAI: diva2:722801
Subject / course
Mathematical Statistics
Available from: 2014-06-13 Created: 2014-06-09 Last updated: 2015-01-15Bibliographically approved

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Karlsson, Emil
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Mathematical Statistics The Institute of Technology

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