Estimation of variance and covariance components - MINQUE theory

Radhakrishna Rao, C. (1971) Estimation of variance and covariance components - MINQUE theory Journal of Multivariate Analysis, 1 (3). pp. 257-275. ISSN 0047-259X

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The paper consists of two parts. The first part deals with solutions to some optimization problems. The general problem is one of minimssing Tr AVA'U, where V and U are positive definite matrices when the elements of the matrix are subject to linear restrictions of the type AX = O or X'AX = O and trace AVi = pi, i = 1,.., k, or U1'AU1 + ... + Uk'AUk = M. These results are used in determining Minimum Norm Quadratic Unbiased Estimators (MINQUE) of variance and covariance components in linear models. The present paper is a generalization of an earlier attempt by the author to obtain estimators of heteroscedastic variances in a regression model. The method is quite general, applicable to all experimental situations, and the computations are simple.

Item Type:Article
Source:Copyright of this article belongs to Elsevier Science.
Keywords:Estimation; Variance Components; Covariance Components; MINQUE Theory
ID Code:42459
Deposited On:02 Jun 2011 14:30
Last Modified:02 Jun 2011 14:30

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