Analysis of variance with general errors and grouped and non-grouped data: Some iterative algorithms

  • Authors:
  • Carmen Anido;Carlos Rivero;Teófilo Valdés

  • Affiliations:
  • Departamento de Análisis Económico: Economía Cuantitativa, Facultad de Ciencias Económicas y Empresariales, Universidad Autónoma de Madrid, Cantoblanco, 28049 Madrid, Spai ...;Departamento de Estadística e I.O. II, Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid, 28223 Pozuelo de Alarcón, Spain;Departamento de Estadística e I.O. I, Facultad de Matemáticas, Universidad Complutense de Madrid, 28040 Madrid, Spain

  • Venue:
  • Journal of Multivariate Analysis
  • Year:
  • 2008

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Abstract

In this paper we consider some iterative estimation algorithms, which are valid to analyse the variance of data, which may be either non-grouped or grouped with different classification intervals. This situation appears, for instance, when data is collected from different sources and the grouping intervals differ from one source to another. The analysis of variance is carried out by means of general linear models, whose error terms may be general. An initial procedure in the line of the EM, although it does not necessarily agree with it, opens the paper and gives rise to a simplified version where we avoid the double iteration, which implicitly appears in the EM and, also, in the initial procedure mentioned above. The asymptotic stochastic properties of the resulting estimates have been investigated in depth and used to test ANOVA hypothesis.