Estimation of covariance matrices of vector wiener process by minque method

DOI10.1080/02331888608801975zbMath0606.62092OpenAlexW1999166880MaRDI QIDQ3745104

Jan Koziara

Publication date: 1986

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888608801975

zbMATH Keywords

MINQUEcovariance matricesgeneral linear modelsminimum norm quadratic unbiased estimatormultidimensional Wiener process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

• Estimation of variance and covariance components—MINQUE theory
• Estimation of Variance and Covariance Components in Linear Models

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