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On estimation in hierarchical models with block circular covariance structures
Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
2015 (engelsk)Inngår i: Annals of the Institute of Statistical Mathematics, ISSN 0020-3157, E-ISSN 1572-9052, Vol. 67, nr 4, s. 773-791Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

Hierarchical linear models with a block circular covariance structure are considered. Sufficient conditions for obtaining explicit and unique estimators for the variance–covariance components are derived. Different restricted models are discussed and maximum likelihood estimators are presented. The theory is illustrated through covariance matrices of small sizes and a real-life example.

sted, utgiver, år, opplag, sider
2015. Vol. 67, nr 4, s. 773-791
Emneord [en]
Circular block symmetry, Estimation, Identifiability, Maximum likelihood estimator, Restricted model, Variance components
HSV kategori
Forskningsprogram
statistik
Identifikatorer
URN: urn:nbn:se:su:diva-107708DOI: 10.1007/s10463-014-0475-8ISI: 000356541300007OAI: oai:DiVA.org:su-107708DiVA, id: diva2:749645
Tilgjengelig fra: 2014-09-24 Laget: 2014-09-24 Sist oppdatert: 2017-12-05bibliografisk kontrollert
Inngår i avhandling
1. Contributions to Estimation and Testing Block Covariance Structures in Multivariate Normal Models
Åpne denne publikasjonen i ny fane eller vindu >>Contributions to Estimation and Testing Block Covariance Structures in Multivariate Normal Models
2015 (engelsk)Doktoravhandling, med artikler (Annet vitenskapelig)
Abstract [en]

This thesis concerns inference problems in balanced random effects models with a so-called block circular Toeplitz covariance structure. This class of covariance structures describes the dependency of some specific multivariate two-level data when both compound symmetry and circular symmetry appear simultaneously.

We derive two covariance structures under two different invariance restrictions. The obtained covariance structures reflect both circularity and exchangeability present in the data. In particular, estimation in the balanced random effects with block circular covariance matrices is considered. The spectral properties of such patterned covariance matrices are provided. Maximum likelihood estimation is performed through the spectral decomposition of the patterned covariance matrices. Existence of the explicit maximum likelihood estimators is discussed and sufficient conditions for obtaining explicit and unique estimators for the variance-covariance components are derived. Different restricted models are discussed and the corresponding maximum likelihood estimators are presented.

This thesis also deals with hypothesis testing of block covariance structures, especially block circular Toeplitz covariance matrices. We consider both so-called external tests and internal tests. In the external tests, various hypotheses about testing block covariance structures, as well as mean structures, are considered, and the internal tests are concerned with testing specific covariance parameters given the block circular Toeplitz structure. Likelihood ratio tests are constructed, and the null distributions of the corresponding test statistics are derived.

sted, utgiver, år, opplag, sider
Stockholm: Department of Statistics, Stockholm Univeristy, 2015. s. 54
Emneord
Block circular symmetry, covariance parameters, explicit maximum likelihood estimator, likelihood ratio test, restricted model, Toeplitz matrix
HSV kategori
Forskningsprogram
statistik
Identifikatorer
urn:nbn:se:su:diva-115347 (URN)978-91-7649-136-2 (ISBN)
Disputas
2015-05-11, De Geersalen, Geovetenskapens hus, Svante Arrhenius väg 14, Stockholm, 10:00 (engelsk)
Opponent
Veileder
Tilgjengelig fra: 2015-04-17 Laget: 2015-03-19 Sist oppdatert: 2015-04-20bibliografisk kontrollert

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