Invariance of covariance structures under groups of transformations (Q1185343)

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.