Natural estimation of variances in a general finite discrete spectrum linear regression model

DOI10.1007/s00184-007-0132-9zbMath1357.62275OpenAlexW2012230068MaRDI QIDQ745493

Martina Hančová

Publication date: 14 October 2015

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-007-0132-9

zbMATH Keywords

time seriesSchur complementfinite discrete spectrum linear regression modelnatural estimators of variance componentsorthogonal and oblique projectors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Inference from stochastic processes and spectral analysis (62M15)

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Cites Work

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• Mean squared error of the empirical best linear unbiased predictor in an orthogonal finite discrete spectrum linear regression model
• Estimation of variances in orthogonal finite discrete spectrum linear regression models
• The Schur complement and its applications
• Generalized inverses. Theory and applications.
• Least Squares and Minimum MSE Estimators of Variance Components in Mixed Linear Models

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