Covariance reducing models: An alternative to spectral modelling of covariance matrices
نویسندگان
چکیده
منابع مشابه
Covariance Reducing Models: An Alternative to Spectral Modeling of Covariance Matrices
We introduce covariance reducing models for studying the sample covariance matrices of a random vector observed in different populations. The models are based on reducing the sample covariance matrices to an informational core that is sufficient to characterize the variance heterogeneity among the populations. They possess useful equivariance properties and provide a clear alternative to spectr...
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ژورنال
عنوان ژورنال: Biometrika
سال: 2008
ISSN: 0006-3444,1464-3510
DOI: 10.1093/biomet/asn052