A Monte Carlo Comparison of Four Estimators of the Dispersion Matrix of a Bivariate Normal Population, Using Incomplete Data
不完整数据下二元正态总体离散矩阵四种估计量的蒙特卡洛比较
Consider a random vector (X 1, X 2) distributed as a bivariate normal with mean vector zero, and dispersion matrix Σ = [(σ ij )]. Suppose we are given samples of sizes n 1 and n 2, respectively, from the marginals of X 1, X 2, and a sample of size n 3 from the bivariate population of (X 1, X 2). The problem is to obtain a good estimator of Σ based on this (incomplete) sample. In this article, four estimators of Σ are compared using Monte Carlo methods, and it is found that a…