Improved estimation of a patterned covariance matrix
نویسندگان
چکیده
منابع مشابه
Estimation of Covariance Matrix
Estimation of population covariance matrices from samples of multivariate data is important. (1) Estimation of principle components and eigenvalues. (2) Construction of linear discriminant functions. (3) Establishing independence and conditional independence. (4) Setting confidence intervals on linear functions. Suppose we observed p dimensional multivariate samples X1, X2, · · · , Xn i.i.d. wi...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 1989
ISSN: 0047-259X
DOI: 10.1016/0047-259x(89)90053-5