Estimation of covariance matrices in fixed and mixed effects linear models

JOURNAL OF MULTIVARIATE ANALYSIS

卷:97

Article

Kubokawa, Tatsuya ; Tsai, Ming-Tien

关键词: covariance matrix;    decision theory;    estimation;    Haff identity;    improvement;    James-Stein estimator;    linear regression model;    minimaxity;    mixed effects model;    multivariate normal distribution;    Stein identity;    variance component;    Wishart distribution;   

DOI  :  10.1016/j.jmva.2005.11.004

来源: Elsevier

【 摘 要 】

The estimation of the covariance matrix or the multivariate components of variance is considered in the multivariate linear regression models with effects being fixed or random. In this paper, we propose a new method to show that usual unbiased estimators are improved on by the truncated estimators. The method is based on the Stein-Haff identity, namely the integration by parts in the Wishart distribution, and it allows us to handle the general types of scale-equivariant estimators as well as the general fixed or mixed effects linear models. (C) 2005 Elsevier Inc. All rights reserved.

【 授权许可】

Free