Abstract
The problem of estimating parameters of a multivariate normal p-dimensional random vector is considered for a banded covariance structure reflecting m-dependence. A simple non-iterative estimation procedure is suggested which gives an explicit, unbiased and consistent estimator of the mean and an explicit and consistent estimator of the covariance matrix for arbitrary p and m.
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Ohlson, M., Andrushchenko, Z. & von Rosen, D. Explicit estimators under m-dependence for a multivariate normal distribution. Ann Inst Stat Math 63, 29–42 (2011). https://doi.org/10.1007/s10463-008-0213-1
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DOI: https://doi.org/10.1007/s10463-008-0213-1