Chebyshev polynomials and least squares estimation based on one-dependent random variables

DOI10.1016/0024-3795(89)90597-1MaRDI QIDQ1107936zbMATH OpenOpenAlexFDO

Authors Udo Kamps

Publication date 1989

Published in Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0024-3795(89)90597-1

zbMATH Keywords

best linear unbiased estimatorChebyshev polynomialsmethod of least squaresOne-dependent random variablesproducts of Chebyshev polynomialsregular tridiagonal covariance matrixtime series

Mathematics Subject Classification ID

Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Linear inference, regression (62J99)

Review text

One-dependent random variables appear in several fields of statistical work, e.g. in time series analysis and sampling theory. We consider such random variables \(Y_ 1,...,Y_ k\), \(k\in {\mathbb{N}}\), with \(E(Y_ i)=\mu\), \(i\in \{1,...,k\}\), and regular tridiagonal covariance matrix \(\Sigma\). The real parameter \(\mu\) can be estimated by the method of least squares, which leads to the best linear unbiased estimator \({\hat \mu}{}_{opt}.\) We give representations of \({\hat \mu}{}_{opt}\) and V(\({\hat \mu}{}_{opt})\) in terms of Chebyshev polynomials, which turn out to be a helpful tool in the analysis of structure and properties of \({\hat \mu}{}_{opt}\). Using well-known relations, we give some more sum formulas and formulas concerning products of Chebyshev polynomials, which may also be of interest in other contexts.

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