Cahiers du CEREMADE

Unité Mixte de Recherche du C.N.R.S. N°7534
 
Abstract : n this paper, the linear Toeplitz covariance structure model of order 1 is studied. For small sample size, some estimators of its covariance parameters are evaluated. Explicit expressions of their Locally Minimum Variance Quadratic Unbiased Estimators are given and, by using Monte-Carlo method, some properties of their gaussian maximum likelihood estimators are estimated. Finally, these two previous types of estimators are compared with the intuitive empirical biased estimators and we explain why the empirical biased estimators should be used.
 
 
ESTIMATION OF VARIANCE COMPONENTS FOR A LINEAR TOEPLITZ MODEL
MARIN Jean-Michel
2003-8
25-02-2003
 
Université de PARIS - DAUPHINE
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