Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
第54回ISCIE「確率システム理論と応用」国際シンポジウム(2022年10月, 奈良)
Consistent estimate of a residuals covariance for the estimation of noise covariance
Kenji IkedaHideyuki Tanaka
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ジャーナル フリー

2023 年 2023 巻 p. 75-80

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The authors derived a best linear unbiased estimate (BLUE) for the estimation of the noise covariance matrix, where the covariance matrix of the residuals of the linear regression equation is required. In the previous paper, the sample covariance of the residuals was given, but the consistency of the sample covariance was not analyzed. In this paper, theoretical analysis shows that the proposed sample covariance matrix is a consistent estimate of the covariance matrix in a certain sense.
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© 2023 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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