Minimum variance quadratic unbiased estimators as a tool to identify compound normal distributions

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:102

Article

Rolle, JD

关键词: normal linear regression;    compound normal distributions;    quadratic estimation;    error components model;   

DOI  :  10.1016/S0377-0427(98)00228-3

来源: Elsevier

【 摘 要 】

We derive the minimum variance quadratic unbiased estimator (MIVQUE) of the variance of the components of a random vector having a compound normal distribution (CND). We show that the MIVQUE converges in probability to a random variable whose distribution is essentially the mixing distribution characterising the CND. This fact is very important, because the MIVQUE allows us to make out the signature of a particular CND, and notably allows us to check if an hypothesis of normality for multivariate observations y(1),..., y(M) is plausible. (C) 1999 Elsevier Science B.V. All rights reserved.

【 授权许可】

Free