On variance-covariance components estimation in linear models with AR(1) disturbances.
Witkovský, V. (1996)
Acta Mathematica Universitatis Comenianae. New Series
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Displaying similar documents to “Modified minimax quadratic estimation of variance components”
On variance-covariance components estimation in linear models with AR(1) disturbances.
Unbiased risk estimation method for covariance estimation
Hélène Lescornel, Jean-Michel Loubes, Claudie Chabriac (2014)
ESAIM: Probability and Statistics
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We consider a model selection estimator of the covariance of a random process. Using the Unbiased Risk Estimation (U.R.E.) method, we build an estimator of the risk which allows to select an estimator in a collection of models. Then, we present an oracle inequality which ensures that the risk of the selected estimator is close to the risk of the oracle. Simulations show the efficiency of this methodology.
Covariance matrix elements estimation: special linear model without and with repeated measurement
Gejza Wimmer (1997)
Mathematica Slovaca
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Estimation in a special structure of the linear model
Gejza Wimmer (1993)
Mathematica Slovaca
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