On Two-stage Estimate Based on Independent Estimate of Covariance Matrix
On Two-stage Estimate Based on Independent Estimate of Covariance Matrix作者机构：College of Applied Sciences Beijing University of Technology Beijing 100022 P. R. China
出 版 物：《Acta Mathematica Sinica,English Series》 (数学学报（英文版）)
年 卷 期：2006年第22卷第1期
页 面：283-288页
核心收录：
学科分类：07[理学] 070104[理学-应用数学] 0701[理学-数学]
基 金：The work is supported by the National Natural Science Foundation of China (10271010) the Natural Science Foundation of Beijing (1032001)
主 题：two-stage estimate covariance adjusted estimate canonical correlation coefficients
摘 要：When an independent estimate of covariance matrix is available, we often prefer two-stage estimate （TSE）. Expressions of exact covarianee matrix of the TSE obtained by using all and some covariables in eovariance adjustment approach are given, and a necessary and sufficient condition for the TSE to be superior to the least square estimate and related large sample test is also established. Furthermore the TSE, by using some covariables, is expressed as weighted least square estimate. Basing on this fact, a necessary and sufficient condition for the TSE by using some covariables to be superior to the TSE by using all eovariables is obtained. These results give us some insight into the selection of covariables in the TSE and its application.
维普期刊数据库