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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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Type
Article accepté pour publication ou publié
Date
2007
Journal name
Communications in Statistics - Theory and Methods
Volume
36
Number
12
Publisher
Taylor & Francis
Pages
2273-2288
Publication identifier
Metadata
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Author(s)
Marin, Jean-Michel cc
Abstract (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 components