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The estimation of a multivariate linear relation
Authors:PM Robinson
Institution:Department of Statistics, Harvard University USA
Abstract:A multivariate linear relation ηn = β0ξn is considered, in which ξn and ηn are observed subject to white noise errors, with covariance matrices σ0, ω0 respectively. If their elements lie in the null space of a suitable vector function, β0, σ0, ω0 may be uniquely defined by second-order functions of the data. The asymptotic properties of estimates of β0, σ0, ω0 are established under relatively mild conditions. We explore the possibility that explicit formulas for consistent estimates of β0, σ0, ω0 may be available.
Keywords:62E20  62H10  62H05  62J05  Multivariate relation  errors-in-variables  maximum likelihood estimation  martingale limit theorems
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