一类线性混合模型谱分解估计.pdfVIP

264 ℄ Vol.26, No.4 200611 JOURNAL OF MATHEMATICAL RESEARCH AND EXPOSITION Nov., 2006 : 1000-341X(2006)04-0795-08 A Æ 1, 2 (1. 041004; 2. 100022) (E-mail: shijh70@) : (SDE) ℄ ℄  SDE    SDE : ℄ MSC(2000): 62J05 : O212.1 1 [1]. y = Xβ + Uξ + ǫ, (1.1) y n × 1 X n ×p rank(X ) = p , β p × 1 U n × m ξ m × 1 ǫ n × 1 2 2 2 2 ′ ξ ∼ Nm (0, σ Im ), ǫ ∼ Nn (0, σ In ), Cov(ξ, ǫ) = 0. θ = (σ , σ ) 1 1 ′ V = UU . (ANOVAE) Æ (MLE) Æ (RMLE) (MINQUE)[1]. ANOVAE MINQUE Æ℄ MLE RMLE MINQUE [2] (spec- tral decomposition estimate, SDE). MLE, RMLE SDE ANOVAE ′ − + A , tr(A), M(A), rk(A), A A A Moore-Penrose A− : 2004-11-08 :  ,  (1032001). 796 26 A {1} AXA = A XAX = X X A {1, 2} ′ − ′ PA = A(A A) A , M(A) NA = I − PA . 2 ANOVAE ℄ SDE ANOVAE SDE [3] [4] ′ ′ ′ Z n ×q (q = n −p ) Z X = 0, Z Z = I . u = Z y ,