More on the Kronecker Structured Covariance Matrix
2011 (English)Report (Other academic)
In this paper the multivariate normal distribution with a Kronecker product structured covariance matrix is studied. Particularly, estimation of a Kronecker structured covariance matrix of order three, the so called double separable covariance matrix. The estimation procedure, suggested in this paper, is a generalization of the procedure derived by Srivastava et al. (2008), for a separable covariance matrix.
Furthermore, the restrictions imposed by separability and double separability are discussed.
Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press , 2011. , 15 p.
LiTH-MAT-R, ISSN 0348-2960 ; 11:1
Kronecker product structure, Separable covariance, Double separable covariance, Maximum likelihood estimators
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:liu:diva-64428Local ID: LiTH-MAT-R--2011/01--SEOAI: oai:DiVA.org:liu-64428DiVA: diva2:391051