Invariance of covariance structures under groups of transformations (Q1185343): Difference between revisions
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Latest revision as of 17:22, 15 May 2024
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English | Invariance of covariance structures under groups of transformations |
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Invariance of covariance structures under groups of transformations (English)
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28 June 1992
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A covariance structure \(\Sigma(\theta)\) is called invariant if for every \(\theta\) and \(A\in{\mathcal G}\) there exists a \(\theta^*\) so that \(\Sigma(\theta^*)=A\Sigma(\theta)A'\). For special groups, such as transformation by a constant scaling factor, the group of block diagonal transformations, the Kronecker product transformations and orthogonal transformations, properties of the matrices \(\Sigma(\theta)\) are established. Consequences for minimum discrepancy estimates of parameters are considered.
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invariance of covariance structures
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Lie groups of transformations
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block diagonal transformations
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Kronecker product transformations
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orthogonal transformations
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minimum discrepancy estimates
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