Displaying similar documents to “Combining multivariate estimators of the mean vector”

Stationarity and invertibility of a dynamic correlation matrix

Michael McAleer (2018)

Kybernetika

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One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC) specification. However, the underlying stochastic process to derive DCC has not yet been established, which has made problematic the derivation of asymptotic properties of the Quasi-Maximum Likelihood Estimators (QMLE). To date, the statistical properties of the QMLE of the DCC parameters have purportedly been derived under highly restrictive and unverifiable regularity...

Overview of Recent Results in Growth-curve-type Multivariate Linear Models

Ivan Žežula, Daniel Klein (2011)

Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica

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The Extended Growth Curve Model (ECGM) is a multivariate linear model connecting different multivariate regression models in sample subgroups through common variance matrix. It has the form: Y = ∑ i = 1 k X i B i Z i ' + e , vec ( e ) ∼ N n × p 0 , Σ ⊗ I n . Here, matrices X i contain subgroup division indicators, and Z i corresponding regressors. If k = 1 , we speak about (ordinary) Growth Curve Model. The model has already its age (it dates back to 1964), but it has many important applications. That is why it is still intensively studied. Many articles investigating...

Robust estimation in the multivariate normal model

Agnieszka Kulawik, Stefan Zontek (2016)

Discussiones Mathematicae Probability and Statistics

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Robust estimation presented in the following paper is based on Fisher consistent and Fréchet differentiable statistical functionals. The method has been used in the multivariate normal model with variance components [5]. To transfer the method to estimate vector of expectations and positive definite covariance matrix of the multivariate normal model it is required to express the covariance matrix as a linear combination of basic elements of the vector space of real, square and symmetric...