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Some Useful Matrix Lemmas in Statistical Estimation Theory*

  • George C. Tiao (a1) and Irwin Guttman (a1)

Extract

In this note, we present two matrix lemmas (one without proof) which have interesting applications in statistical estimation theory.

LEMMA 1. Let A be a k X k positive definite matrix. Then for any k X 1 vector c, we have that

1 .

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References

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1. Bhattacharya, A., On some analogues of the amount of information and their use in Statistical estimation, Sankhya, vol. 8 (1946), p. 1.
2. Box, G.E.P., Unpublished lecture notes, Department of Statistics, University of Wisconsin (1960).
3. Browne, E.T., Introduction to the Theory of Determinants and Matrices, University of North Carolina Press, (1958).
4. Kendall, M.G. and Stuart, A., The Advanced Theory of Statistics, Volume 2, Hafner (1961).
5. Lehmann, E.L., Notes on the Theory of Estimation, University of California Press, (1950).
6. Wilks, S.S., Mathematical Statistics, J. Wiley (1962).
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Some Useful Matrix Lemmas in Statistical Estimation Theory*

  • George C. Tiao (a1) and Irwin Guttman (a1)

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