Maximum entropy measurement error estimates of singular covariance matrices in undersized samples

DOI10.1016/0304-4076(82)90017-3MaRDI QIDQ1173345zbMATH OpenOpenAlexFDO

Authors H. D. Vinod

Publication date 1982

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(82)90017-3

zbMATH Keywords

dispersion matrixmaximum entropy measurement error estimates of singular covariance matricesrelaxation of continuity assumptionundersized samples

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Applications of statistics to economics (62P20)

Cites work

• A Mathematical Theory of Communication
• scientific article; zbMATH DE number 3682857 (Why is no real title available?)
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• Some recent and new results on the maximum entropy distribution

Cited in

(6)

• Structural equation modeling with near singular covariance matrices
• Maximum entropy estimation of density and regression functions
• A well-conditioned estimator for large-dimensional covariance matrices
• A Bayesian approach to diagnosis of asset pricing models
• Consistent estimation in measurement error models with near singular covariance
• Inference for negativist theory using numerically computed rejection regions

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