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论文摘要

协方差矩阵的乘积及其迹的估计

On the estimation for product of covariance matrices and its trace

作者:沈洁琼(四川大学数学学院/浙大宁波理工学院计算机与数据工程学院);周杰(四川大学数学学院);陈晨(四川大学数学学院)

Author:Shen Jie-Qiong(School of Mathematics, Sichuan University/School of Computer and Data Engineering, Ningbo Tech University);Zhou Jie(School of Mathematics, Sichuan University);Chen Chen(School of Mathematics, Sichuan University)

收稿日期:2019-01-13          年卷(期)页码:2020,57(4):635-641

期刊名称:四川大学学报: 自然科学版

Journal Name:Journal of Sichuan University (Natural Science Edition)

关键字:协方差矩阵; 估计; 统计推断; 等价

Key words:Covariance matrix; Estimation; Statistical inference; Equivalence

基金项目:国家自然科学基金(61374027,11871357);四川省应用基础研究项目(2019YJ0122)

中文摘要

对于两个不同总体的协方差矩阵,估计其乘积及乘积的迹是统计推断问题的关键步骤. 本文首先构造几个等价估计,同时对于任意的正整数建立了无偏估计.其次,利用等价估计,本文发现了多个常用估计量是相等的. 最后,基于上述发现,证明了两个常用的检验统计量(被用于检验两个协方差矩阵是否相等)是渐近等价的.

英文摘要

In many statistical inference problems involving two populations respectively with covariance matrices and its trace need to be estimated. In this paper, some existing estimators are shown to be equal besides different computational complexities after constructing some equivalent estimates based on the different characterizations of covariance matrix. Moreover, the unbiased and location-invariant estimators are constructed directly for positive integers. The asymptotical equivalence of two existing test statistics for testing the equality of two covariances is provided.

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