Unbiased invariant minimum norm estimation in generalized growth curve model

doi:10.1016/j.jmva.2006.05.007

	Unbiased invariant minimum norm estimation in generalized growth curve model
	Wu, Xiaoyong ; Zou, Guohua ; Chen, Jianwei
刊名	JOURNAL OF MULTIVARIATE ANALYSIS
	2006-09-01
卷号	97 期号:8 页码:1718-1741
关键词	generalized growth curve model MINQE(U, I) MINQLE(U, I) UMVIQUE
ISSN号	0047-259X
DOI	10.1016/j.jmva.2006.05.007
英文摘要	This paper considers the generalized growth curve model Y = Sigma(m)(i=1) X(i)B(i)Z'(i) + U epsilon subject to R (X-m) subset of R(Xm-1) subset of... subset of R(X-1), where B-i are the matrices of unknown regression coefficients, X-i, Z(i) and U are known covariate matrices, i = 1, 2,..., m, and S splits into a number of independently and identically distributed subvectors with mean zero and unknown covariance matrix E. An unbiased invariant minimum norm quadratic estimator (MINQE(U, I)) of tr(C Sigma) is derived and the conditions for its optimality under the minimum variance criterion are investigated. The necessary and sufficient conditions for MINQE(U, 1) of tr(C Sigma) to be a uniformly minimum variance invariant quadratic unbiased estimator (UMVIQUE) are obtained. An unbiased invariant minimum norm quadratic plus linear estimator (MINQLE(U, I)) of tr(C Sigma) + Sigma(m)(i=1) tr(D'B-i(i)) is also given. To compare with the existing maximum likelihood estimator (MLE) of tr(C Sigma), we conduct some simulation studies which show that our proposed estimator performs very well. (c) 2006 Elsevier Inc. All rights reserved.
WOS研究方向	Mathematics
语种	英语
出版者	ELSEVIER INC
WOS记录号	WOS:000240623000003
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/3302]
专题	中国科学院数学与系统科学研究院
通讯作者	Wu, Xiaoyong
作者单位	1.Univ Windsor, Dept Math & Stat, Windsor, ON N9B 3P4, Canada 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 3.Univ Rochester, Dept Biostat & Computat Biol, Rochester, NY 14642 USA
推荐引用方式 GB/T 7714	Wu, Xiaoyong,Zou, Guohua,Chen, Jianwei. Unbiased invariant minimum norm estimation in generalized growth curve model[J]. JOURNAL OF MULTIVARIATE ANALYSIS,2006,97(8):1718-1741.
APA	Wu, Xiaoyong,Zou, Guohua,&Chen, Jianwei.(2006).Unbiased invariant minimum norm estimation in generalized growth curve model.JOURNAL OF MULTIVARIATE ANALYSIS,97(8),1718-1741.
MLA	Wu, Xiaoyong,et al."Unbiased invariant minimum norm estimation in generalized growth curve model".JOURNAL OF MULTIVARIATE ANALYSIS 97.8(2006):1718-1741.