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Biometrika 1974 61(1):87-90; doi:10.1093/biomet/61.1.87
© 1974 by Biometrika Trust
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Minimum variances estimation of coefficient matrices in a dependent system

H. JEAN THIEBAUX

Department of Mathematics, University of Colorado, Boulder and the National Center for Atmospheric Research

Minimum variance coefficient matrices are derived for a linear combination of vector-valued sets of data possessing dependent vector components and information sources. The covariance matrix for the difference between this and any other, similarly restricted, linear combination and the minimum variance combination is shown to be positive semi-definite.

Key Words: Covariance Optimality • Dependent information • Linear estimator • Matrix coefficients • Minimum variance


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