Unbiased invariant minimum norm estimation in generalized growth curve model

doi:10.1016/j.jmva.2006.05.007

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	Unbiased invariant minimum norm estimation in generalized growth curve model
	Wu, Xiaoyong ; Zou, Guohua ; Chen, Jianwei
	2006-09-01
发表期刊	JOURNAL OF MULTIVARIATE ANALYSIS
ISSN	0047-259X
卷号	97 期号:8 页码:1718-1741
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.
关键词	generalized growth curve model MINQE(U, I) MINQLE(U, I) UMVIQUE
DOI	10.1016/j.jmva.2006.05.007
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000240623000003
出版者	ELSEVIER INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/3303
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.