Minimum variance quadratic unbiased estimators as a tool to identify compound normal distributions
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Minimum variance quadratic unbiased estimators as a tool to identify compound normal distributions
We derive 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. This fact is very important, because the MIVQUE allows us to make out the sign...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 1999
ISSN: 0377-0427
DOI: 10.1016/s0377-0427(98)00228-3