Covariance matrix estimation in the presence of auxiliary information (Q1895527): Difference between revisions
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Latest revision as of 06:08, 5 March 2024
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English | Covariance matrix estimation in the presence of auxiliary information |
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Covariance matrix estimation in the presence of auxiliary information (English)
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3 October 1995
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We use empirical likelihood to construct the stochastic processes and give the covariance matrix estimation of \(\Sigma > 0\), and eigenvalue and eigenvector estimation of \(\Sigma\) as efficiently as possible. Many theorems for likelihood are analogous to results of usual stochastic processes, but the asymptotic variances of many estimators are smaller. That is, the estimators in the presence of auxiliary information are asymptotically more efficient than the usual empirical distribution estimator.
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empirical likelihood ratio
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Gaussian process
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covariance matrix estimation
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eigenvalues
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eigenvectors
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asymptotic variances
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auxiliary information
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