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

DOI10.1016/0304-4076(82)90017-3zbMath0503.62010OpenAlexW1967897997MaRDI QIDQ1173345

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 matrixundersized samplesmaximum entropy measurement error estimates of singular covariance matricesrelaxation of continuity assumption

Mathematics Subject Classification ID

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

Related Items

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

Cites Work

• A Mathematical Theory of Communication
• Some recent and new results on the maximum entropy distribution
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