Estimation of variances in orthogonal finite discrete spectrum linear regression models

The Invariant Quadratic Estimators, the Maximum Likelihood Estimator (MLE) and Restricted Maximum Likelihood Estimator (REML) of variances in an orthogonal Finite Discrete Spectrum Linear Regression Model (FDSLRM) are derived and the problems of unbiasedness and consistency of these estimators are investigated. Copyright Springer-Verlag 2004

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Year of publication:	2004
Authors:	Štulajter, František ; Witkovský, Viktor
Published in:	Metrika. - Springer. - Vol. 60.2004, 2, p. 105-118
Publisher:	Springer
Subject:	Time series \| finite discrete spectrum linear regression model \| invariant quadratic estimators of variance components \| maximum likelihood estimation \| restricted maximum likelihood estimation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005375741