Consistent estimator in multivariate errors-in-variables model in the case of unknown error covariance structure |
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Authors: | O H Kukush M Ya Polekha |
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Institution: | (1) Shevchenko Kyiv National University, Kyiv |
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Abstract: | We consider a linear multivariate errors-in-variables model AX ≈ B, where the matrices A and B are observed with errors and the matrix parameter X is to be estimated. In the case of lack of information about the error covariance structure, we propose an estimator that
converges in probability to X as the number of rows in A tends to infinity. Sufficient conditions for this convergence and for the asymptotic normality of the estimator are found.
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Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 59, No. 8, pp. 1026–1033, August, 2007. |
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