Natural estimation of variances in a general finite discrete spectrum linear regression model |
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| Authors: | Martina Hančová |
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| Institution: | (1) Institute of Mathematics, P. J. Šafárik University in Košice, Jesenná 5, 040 01 Košice, Slovakia |
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| Abstract: | The method of “natural” estimation of variances in a general (orthogonal or nonorthogonal) finite discrete spectrum linear
regression model of time series is suggested. Using geometrical language of the theory of projectors a form and properties
of the estimators are investigated. Obtained results show that in describing the first and second moment properties of the
new estimators the central role plays a matrix known in linear algebra as the Schur complement. Illustrative examples with
particular regressors demonstrate direct applications of the results. |
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| Keywords: | Time series Finite discrete spectrum linear regression model Natural estimators of variance components Orthogonal and oblique projectors The Schur complement |
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