ASYMPTOTIC PROPERTIES OF THE ESTIMATORS FOR MULTIVARIATE COMPONENTS OF VARIANCE

[摘要] Estimation of the covariance matrices in the multivariate balanced one-way random effect model is discussed. The rank of the between-group covariance matrix plays a large role in model building as well as in assessing asymptotic properties of the estimated covariance matrices. The restricted (residual) maximum likelihood estimators derived under a rank condition are considered. Asymptotic properties of the estimators are derived for a possibly incorrectly specified rank and under either the number of groups, the number of replicates, or both, tending to infinity. A higher order expansion covering various cases leads to a common approximate inference procedure which can be used in a wide range of practical situations. A simulation study is also presented. (C) 1994 Academic Press, Inc.

[发布日期] 1994-04-01

[关键词] RANDOM EFFECT MODEL;ESTIMATION UNDER RANK CONSTRAINT;RESTRICTED MAXIMUM LIKELIHOOD ESTIMATOR;COVARIANCE MATRIX RANK;COMMON ASYMPTOTIC EXPANSION