Unbiased estimator for a covariance matrix in a three-step monotone incomplete sample
2019
Abstract In a monotone incomplete sample, the maximum likelihood estimator (MLE) for a mean vector is unbiased, whereas the MLE for a covariance matrix is not. This study derives unbiased estimators (UBEs) for a covariance matrix in a three-step monotone incomplete sample. We further investigate the properties of the estimators, compare risks of the estimators and the MLE, and check accuracies through numerical simulation.
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