Estimation of variances in orthogonal finite discrete spectrum linear regression models

DOI10.1007/S001840300299MaRDI QIDQ814848zbMATH OpenOpenAlexFDO

Authors František Štulajter, Viktor Witkovský

Publication date 8 February 2006

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s001840300299

zbMATH Keywords

maximum likelihood estimationTime seriesrestricted maximum likelihood estimationinvariant quadratic estimators of variance components

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)

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• A practical, effective calculation of gamma difference distributions with open data science tools
• Optimal prediction designs in finite discrete spectrum linear regression models
• Mean squared error of the empirical best linear unbiased predictor in an orthogonal finite discrete spectrum linear regression model
• Natural estimation of variances in a general finite discrete spectrum linear regression model
• Estimating variances in time series kriging using convex optimization and empirical BLUPs

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