Linear Toeplitz covariance structure models with optimal estimators of variance components

DOI10.1016/S0024-3795(02)00325-7MaRDI QIDQ1855356zbMATH OpenOpenAlexWikidataFDO

Authors Jean-Michel Marin, Thierry Dhorne

Publication date 5 February 2003

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

Full work available at URL https://doi.org/10.1016/s0024-3795(02)00325-7

zbMATH Keywords

circulant matricesToeplitz matricesautoregressive modelsmoving average modelsspecial Jordan algebrasskewcirculant matricesquadratic unbiased estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Analysis of variance and covariance (ANOVA) (62J10) Generalized linear models (logistic models) (62J12) Structure theory for Jordan algebras (17C10)

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• On the existence of unbiased nonnegative estimates of variance covariance components
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Cited in

(7)

• OPTIMAL QUADRATIC UNBIASED ESTIMATION FOR MODELS WITH LINEAR TOEPLITZ COVARIANCE STRUCTURE
• Explicit estimators of parameters in the growth curve model with linearly structured covariance matrices
• Estimation of Variance Components for a Linear Toeplitz Model
• Shift permutation invariance in linear random factor models
• Sample Efficient Toeplitz Covariance Estimation
• Explicit estimators under m-dependence for a multivariate normal distribution
• On properties of Toeplitz-type covariance matrices in models with nested random effects

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