Estimation of banded covariance matrices in a multivariate normal distribution
Zhanna N. Andrushchenko, Martin Ohlson, Dietrich von Rosen · 2008
The estimation of parameters of a multivariate p-dimensional random vector is considered for a banded covariance structure under the constrain that the covariances σij = 0 for |i − j| > 1. Explicit analytical estimators for the mean and the covariance matrix are presented. The estimators are unbiased and consistent for the mean and consistent for the covariance matrix. Likelihood based tests which are asymptotically equivalent to likelihood ratio tests are presented and hypotheses for covariance matrices are tested.