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On drawbacks of least squares Lehmann–Scheffé estimation of variance components

Author

Listed:
  • Ivan Žežula

    (University of P. J. Šafárik)

  • Daniel Klein

    (University of P. J. Šafárik)

Abstract

Estimation of variance components is one of the basic problems in linear models with mixed effects, and a vast literature exists on the subject. Unfortunately, there are only few situations in which uniformly best estimators exist, which usually results into need of using an iterative estimation procedure. A new non-iterative method, called least squares Lehmann–Scheffé method, was proposed and its superiority over commonly accepted methods was claimed. Since there was no scientific response to these claims, we decided to analyze it thoroughly.

Suggested Citation

  • Ivan Žežula & Daniel Klein, 2021. "On drawbacks of least squares Lehmann–Scheffé estimation of variance components," METRON, Springer;Sapienza Università di Roma, vol. 79(1), pages 109-119, April.
    • Handle: RePEc:spr:metron:v:79:y:2021:i:1:d:10.1007_s40300-021-00196-8
    DOI: 10.1007/s40300-021-00196-8
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