Minimum variance quadratic unbiased estimation of variance components
AbstractThe variance of a quadratic function of the random variables in a linear model is minimized to obtain locally best unbiased estimators (MIVQUE) of variance components. Condition for such estimators to be independent of the kurtosis of the variables is given. When the variables are normally distributed, MIVQUE coincides with MINQUE under the Euclidean norm of a matrix. Conditions under which MIVQUE has uniformly minimum variance property are obtained. Expressions are also given for MIMSQE (minimum mean square quadratic estimators).
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 1 (1971)
Issue (Month): 4 (December)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- S. Cheng & B. Chen, 1991. "The locally MIMSQE of nonnormal error variance in quadratically balanced models," Metrika, Springer, vol. 38(1), pages 67-70, December.
- Jonathan McCarthy & Egon Zakrajsek, 2000.
"Microeconomic inventory adjustment: evidence from U.S. firm-level data,"
Finance and Economics Discussion Series
2000-24, Board of Governors of the Federal Reserve System (U.S.).
- Jonathan McCarthy & Egon Zakrajsek, 2000. "Microeconomic inventory adjustment: evidence from U.S. firm-level data," Staff Reports 101, Federal Reserve Bank of New York.
- H. Baltagi, Badi & Heun Song, Seuck & Cheol Jung, Byoung, 2001. "The unbalanced nested error component regression model," Journal of Econometrics, Elsevier, vol. 101(2), pages 357-381, April.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.