The Annals of Mathematical Statistics

Minimum Generalized Variance for a set of Linear Functions

Robert G. D. Steel

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Abstract

Let $n$ variates possessing finite first and second moments be partitioned into $k$ sets. A system of equations is developed for which some solution consists of $k$ sets of coefficients which combine the $k$ sets of variates into $k$ variates possessing minimum generalized variance.

Article information

Source
Ann. Math. Statist., Volume 22, Number 3 (1951), 456-460.

Dates
First available in Project Euclid: 28 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aoms/1177729594

Digital Object Identifier
doi:10.1214/aoms/1177729594

Mathematical Reviews number (MathSciNet)
MR42659

Zentralblatt MATH identifier
0043.34203

JSTOR
links.jstor.org

Citation

Steel, Robert G. D. Minimum Generalized Variance for a set of Linear Functions. Ann. Math. Statist. 22 (1951), no. 3, 456--460. doi:10.1214/aoms/1177729594. https://projecteuclid.org/euclid.aoms/1177729594


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