Abstract
Let S represent the usual unbiased estimator of a covariance matrix. ?o, whose elements are functions of a parameter vector ?o:?o = ?(?o). A generalized least squares (G.L.S.) estimate, ?. of ?o may be obtained by minimizing tr[ {S - ?(?) }V]2 where V is some positive definite matrix.
Keywords
MathematicsCovariance matrixEstimatorPositive-definite matrixCovarianceApplied mathematicsStatisticsLeast-squares function approximationGeneralized least squaresEstimation of covariance matricesCombinatoricsMatrix (chemical analysis)ChemistryEigenvalues and eigenvectorsChromatography
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Publication Info
- Year
- 1974
- Type
- article
- Volume
- 8
- Issue
- 1
- Pages
- 1-24
- Citations
- 336
- Access
- Closed
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Cite This
Michael W. Browne
(1974).
Generalized least squares estimators in the analysis of covariance structures.
South African Statistical Journal
, 8
(1)
, 1-24.