Minimum Variance Quadratic Unbiased Estimators as a Tool to Identify Compound Normal Distributions.

We drive 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.

MoreLess

Year of publication:	1996
Authors:	Rolle, J.D.
Institutions:	Geneva School of Economics and Management, Université de Genève
Subject:	LINEAR MODELS \| REGRESSION ANALYSIS

Check Google Scholar |

More access options

In German libraries (KVK)

I need help

More details

Series:	Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
Type of publication:	Book / Working Paper
Notes:	5 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005634258