IMPROVED ANOVAE OF THE COVARIANCE MATRIX IN GENERAL LINEAR MIXED MODELS

In this paper, the problem of estimating the covariance matrix in general linear mixed models is considered. A new class of estimators is proposed. It is shown that this new estimator dominates the analysis of variance estimate under two squared loss functions. Finally, some simulation results to co...

Full description

Saved in:
Bibliographic Details
Published inJournal of systems science and complexity Vol. 24; no. 1; pp. 176 - 185
Main Authors Ye, Rendao, Ma, Tiefeng, Wang, Songgui
Format Journal Article
LanguageEnglish
Published Beijing Academy of Mathematics and Systems Science, Chinese Academy of Sciences 01.02.2011
Subjects
Complex Systems
Control
Mathematics
Mathematics and Statistics
Mathematics of Computing
Operations Research/Decision Theory
Statistics
Systems Theory
仿真结果
估计性能
协方差矩阵
平方损失函数
方差估计
方差分析
线性混合模型
loss function
ANOVAE
linear mixed model
covariance matrix
Online AccessGet full text

Cover

More Information
Summary:In this paper, the problem of estimating the covariance matrix in general linear mixed models is considered. A new class of estimators is proposed. It is shown that this new estimator dominates the analysis of variance estimate under two squared loss functions. Finally, some simulation results to compare the performance of the proposed estimator with that of the analysis of variance estimate are reported. The simulation results indicate that this new estimator provides a substantial improvement in risk under most situations.
Bibliography:O212.1
11-4543/O1
O211.67
ANOVAE, covariance matrix, linear mixed model, loss function.
ISSN:1009-6124
1559-7067
DOI:10.1007/s11424-011-8309-8