Displaying similar documents to “Kalman filter with variance components”

Estimation of parameters of mean and variance in two-stage linear models

Júlia Volaufová (1987)

Aplikace matematiky

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The paper deals with the estimation of unknown vector parameter of mean and scalar parameters of variance as well in two-stage linear model, which is a special type of mixed linear model. The necessary and sufficient condition for the existence of uniformly best unbiased estimator of parameter of means is given. The explicite formulas for these estimators and for the estimators of the parameters of variance as well are derived.