Models with a Kronecker product covariance structure: Estimation and testing
نویسندگان
چکیده
منابع مشابه
Models with a Kronecker Product Covariance Structure: Estimation and Testing
In this article we consider a pq-dimensional random vector x distributed normally with mean vector θ and the covariance matrix Λ, assumed to be positive definite. On the basis of N independent observations on the random vector x, we wish to estimate parameters and test the hypothesis H: Λ = Ψ ⊗Σ, where Ψ = (ψij) : q × q and Σ = (σij) : p × p, and Λ = (ψijΣ), the Kronecker product of Ψ and Σ. Th...
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We study the Gaussian and robust covariance estimation, assuming the true covariance matrix to be a Kronecker product of two lower dimensional square matrices. In both settings we define the estimators as solutions to the constrained maximum likelihood programs. In the robust case, we consider Tyler’s estimator defined as the maximum likelihood estimator of a certain distribution on a sphere. W...
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The problem of estimating covariance matrices is central to statistical analysis and is extensively addressed when data are vectors. This paper studies a novel Kronecker-structured approach for estimating such matrices when data are matrices and arrays. Focusing on matrix-variate data, we present simple approaches to estimate the row and the column correlation matrices, formulated separately vi...
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ژورنال
عنوان ژورنال: Mathematical Methods of Statistics
سال: 2008
ISSN: 1066-5307,1934-8045
DOI: 10.3103/s1066530708040066