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More on the Kronecker Structured Covariance Matrix
Linköping University, Department of Mathematics. Linköping University, The Institute of Technology. Linköping University, Department of Mathematics, Mathematical Statistics .ORCID iD: 0000-0001-9896-4438
Linköping University, Department of Mathematics. Linköping University, The Institute of Technology.
Linköping University, Department of Mathematics. Linköping University, The Institute of Technology.
2011 (English)Report (Other academic)
Abstract [en]

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.
Series
LiTH-MAT-R, ISSN 0348-2960 ; 11:1
Keyword [en]
Kronecker product structure, Separable covariance, Double separable covariance, Maximum likelihood estimators
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:liu:diva-64428Local ID: LiTH-MAT-R--2011/01--SEOAI: oai:DiVA.org:liu-64428DiVA: diva2:391051
Available from: 2011-01-24 Created: 2011-01-24 Last updated: 2014-09-29Bibliographically approved

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Ohlson, MartinAhmad, M. Raufvon Rosen, Dietrich

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CiteExportLink to record
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