Estimation of parameters in the growth curve model via an outer product least squares approach for covariance

doi:10.1016/j.jmva.2012.02.007

CORC > 上海财经大学 > 上海财经大学

	Estimation of parameters in the growth curve model via an outer product least squares approach for covariance
	Hu, Jianhua 1; Liu, Fuxiang 1,2,3; Ahmed, S. Ejaz 4
刊名	JOURNAL OF MULTIVARIATE ANALYSIS
	2012-07
卷号	108 页码:53-66
关键词	Estimation Growth curve model Outer product Outer product least squares for covariance COPLS estimator Two-stage generalized least squares
ISSN号	0047-259X
DOI	10.1016/j.jmva.2012.02.007
英文摘要	In this paper, we propose a framework of outer product least squares for covariance (COPLS) to directly estimate covariance in the growth curve model based on an analogy, between the outer product of a data vector and covariance of a random vector, and the ordinary least squares technique. The COPLS estimator of covariance has an explicit expression and is shown to have the following properties: (1) following a linear transformation of two independent Wishart distribution for a normal error matrix: (2) having asymptotic normality for a nonnormal error matrix: and (3) having unbiasedness and invariance under a linear transformation group. And, a corresponding two-stage generalized least squares (GLS) estimator for the regression coefficient matrix in the model is obtained and its asymptotic normality is investigated. Simulation studies confirm that the COPLS estimator and the two-stage GLS estimator of the regression coefficient matrix are satisfying competitors with some evident merits to the existing maximum likelihood estimator in finite samples. (c) 2012 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:000316830200005
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/2132]
专题	上海财经大学
通讯作者	Hu, Jianhua
作者单位	1.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China; 2.China Three Gorges Univ, Coll Sci, Yichang 443002, Hubei, Peoples R China; 3.China Three Gorges Univ, Inst Intelligent Vis & Image Informat, Yichang 443002, Hubei, Peoples R China; 4.Univ Windsor, Dept Math & Stat, Windsor, ON N9B 3P4, Canada
推荐引用方式 GB/T 7714	Hu, Jianhua,Liu, Fuxiang,Ahmed, S. Ejaz. Estimation of parameters in the growth curve model via an outer product least squares approach for covariance[J]. JOURNAL OF MULTIVARIATE ANALYSIS,2012,108:53-66.
APA	Hu, Jianhua,Liu, Fuxiang,&Ahmed, S. Ejaz.(2012).Estimation of parameters in the growth curve model via an outer product least squares approach for covariance.JOURNAL OF MULTIVARIATE ANALYSIS,108,53-66.
MLA	Hu, Jianhua,et al."Estimation of parameters in the growth curve model via an outer product least squares approach for covariance".JOURNAL OF MULTIVARIATE ANALYSIS 108(2012):53-66.