Efficient Estimation with Estimated Error Covariance Matrices

Halbert White

doi:10.1016/b978-0-12-746650-7.50011-6

ScienceGate Book Chapters

BOOK-CHAPTER

Efficient Estimation with Estimated Error Covariance Matrices

Halbert White

Year: 1984 Elsevier eBooks Pages: 162-185 Publisher: Elsevier BV

DOI: 10.1016/b978-0-12-746650-7.50011-6

Get Full-Text PDF Get Analytical Report

Keywords:

Estimator Mathematics Autoregressive model Covariance Covariance matrix Applied mathematics Law of total covariance Autocovariance Mixing (physics) Heteroscedasticity Estimation of covariance matrices Econometrics Covariance intersection Statistics Mathematical analysis

Metrics

Cited By

0.00

FWCI (Field Weighted Citation Impact)

Refs

0.03

Citation Normalized Percentile

Is in top 1%

Is in top 10%

Topics

Advanced Statistical Methods and Models

Physical Sciences → Mathematics → Statistics and Probability

Statistical Methods and Bayesian Inference

Physical Sciences → Mathematics → Statistics and Probability

Statistical Methods and Inference

Physical Sciences → Mathematics → Statistics and Probability

Efficient Estimation with Estimated Error Covariance Matrices

Metrics

Topics

Related Documents

Parameter inference with estimated covariance matrices

Asymptotically Efficient Estimation of Covariance Matrices with Linear Structure

Efficient nonparametric estimation of Toeplitz covariance matrices

Measurement Error Models with Nonconstant Covariance Matrices

Estimation for the Multivariate Errors-in-Variables Model with Estimated Error Covariance Matrix