Computation of variance components by the MINQUE method

DOI10.1016/0047-259X(86)90062-XMaRDI QIDQ1069247zbMATH OpenFDO

Authors B. George

Publication date 1986

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259X(86)90062-X

zbMATH Keywords

computation of variance componentsgeneral linear modelMINQUEmultivariate modelsnested classification models

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Analysis of variance and covariance (ANOVA) (62J10) Probabilistic methods, stochastic differential equations (65C99)

Review text

We present a new method of computing C. R. Rao's MINQUE in variance component models \((y=X\beta +U_ 1\xi_ 1+\cdots +U_ p\xi_ p)\), which requires only inversion and storage of \(n_ i\times n_ i\) matrices, where \(n_ i\) is the number of columns in \(U_ i\). In many cases most of these matrices are of diagonal form. In particular, the derivation of MINQUE equations for univariate nested classification models does not need any inversion of matrices.

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Cites work

• C. R. Rao's minque under four two-way anova models
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• Maximum Likelihood Approaches to Variance Component Estimation and to Related Problems
• Minimum Variance Quadratic Unbiased Estimation (MIVQUE) of Variance Components
• MINQUE and ANOVA Estimator for One-way Classification - a Risk Comparison
• On recent progress of minque theory nonnegative estimation, consistency, asymptotic normality and explicite formulae¹

Cited in

(12)

• Matrix free computation of C. R. Rao's MINQUE for unbalanced nested classification models
• Quadratic unbiased estimation without invariance and its application in the unbalanced one-way random model
• Efficiency properties of cell means variance component estimates
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• scientific article; zbMATH DE number 3862266 (Why is no real title available?)
• scientific article; zbMATH DE number 3967723 (Why is no real title available?)
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• On the role of minque in testing of hypotheses under hiked linear models
• Computable MINQUE-Type Estimates of Variance Components
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• Covariance components estimation in the growth curve model
• MINQUE for block diagonal bordered systems such as those encountered in VLBI data analysis

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