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Weighted Multivariate Regression Estimates Solved by Random Effects Approach
Author(s) -
Volaufová Júlia,
Komornik Jozef
Publication year - 1994
Publication title -
biometrical journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.108
H-Index - 63
eISSN - 1521-4036
pISSN - 0323-3847
DOI - 10.1002/bimj.4710360304
Subject(s) - mathematics , estimator , statistics , covariance matrix , estimation of covariance matrices , covariance , multivariate statistics , multivariate random variable , multivariate normal distribution , law of total covariance , iterated function , random variable , covariance intersection , mathematical analysis
The paper deals with the random effects model, where the expectation vector and the covariance matrix of the effect influencing the population are to be estimated. The iterated estimator of expectation vector is derived, based on the invariant estimator of the combined covariance matrix, and some of its statistical properties are shown.