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XX.—On the Estimation of Variance and Covariance

Published online by Cambridge University Press:  14 February 2012

E. H. Lloyd
E. H. Lloyd
Affiliation:
Imperial College, London.
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Synopsis

Suppose we have a number of independent pairs of observations (Xi, Yi) on two correlated variates (X, Y), which have constant variances and covariance, and whose expected values are of known linear form, with unknown coefficients: say respectively. The pij and the qij are known, the aj and the bj are unknown. The paper discusses the estimation of the coefficients, and of the variances and the covariance, and evaluates the sampling variances of the estimates. The argument is entirely free of distributional assumptions.

Type
Research Article
Information
Proceedings of the Royal Society of Edinburgh Section A: Mathematics , Volume 63 , Issue 3 , 1952 , pp. 280 - 289
Copyright
Copyright © Royal Society of Edinburgh 1952

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References

REFERENCES TO LITERATURE

Aitken, A. C., 1948. “On a Problem in Correlated Errors”, Proc. Roy. Soc. Edin., A, LXII, 273–277.Google Scholar
Hsu, P. L., 1938. “On the Best Unbiased Quadratic Estimate of the Variance” Statist. Res. Memoirs, II, 99, (73).Google Scholar