Comparison of MINQUE and LMVQUIE by simulation. (English) Zbl 1080.62529

Summary: An analytical expression for the density function of the minimum norm quadratic unbiased estimator (MINQUE) or of the locally minimum variance quadratic unbiased invariant estimator (LMVQUIE) of the variance components in a mixed linear model is unknown even if the observation vector is normally distributed. In comparison with the LMVQUIE, which requires the knowledge of the third and fourth moments of the observation vector, the MINQUE, which does not require it, seems to be more suitable for practical purposes. Density functions induced by MINQUE and LMVQUIE from several basic distributions and differences between them are analyzed by simulation. The theoretical variances of the LMVQUIE and the MINQUE are compared as well.


62J10 Analysis of variance and covariance (ANOVA)
62F10 Point estimation
65C60 Computational problems in statistics (MSC2010)
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