Estimation of covariance matrices of vector wiener process by minque method

DOI10.1080/02331888608801975MaRDI QIDQ3745104zbMATH OpenOpenAlexFDO

Authors Jan Koziara

Publication date 1986

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331888608801975

zbMATH Keywords

covariance matricesgeneral linear modelsminimum norm quadratic unbiased estimatorMINQUEmultidimensional Wiener process

Mathematics Subject Classification ID

Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Estimation of Variance and Covariance Components in Linear Models
• Estimation of variance and covariance components—MINQUE theory

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