Estimation of Variance Components for a Linear Toeplitz Model
Marin, Jean-Michel (2007), Estimation of Variance Components for a Linear Toeplitz Model, Communications in Statistics - Theory and Methods, 36, 12, p. 2273-2288. http://dx.doi.org/10.1080/03610920701215431
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Article accepté pour publication ou publiéDate
2007Journal name
Communications in Statistics - Theory and MethodsVolume
36Number
12Publisher
Taylor & Francis
Pages
2273-2288
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Show full item recordAbstract (EN)
The linear Toeplitz covariance structure model of order one is considered. We give some elegant explicit expressions of the Locally Minimum Variance Quadratic Unbiased Estimators of its covariance parameters. We deduce from a Monte Carlo method some properties of their Gaussian maximum likelihood estimators. Finally, for small sample sizes, these two types of estimators are compared with the intuitive empirical estimators and it is shown that the empirical biased estimators should be used.Subjects / Keywords
Gaussian maximum likelihood; LMIVQUE; Toeplitz covariance; Variance componentsRelated items
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