von Rosen, Dietrich
- Institutionen för energi och teknik, Sveriges lantbruksuniversitet
- Linköpings universitet
Forskningsartikel2017Vetenskapligt granskad
Estimation equations for multivariate linear models with Kronecker structured covariance matrices
Szczepanska-Alvarez, Anna; Hao, Chengcheng; Liang, Yuli; von Rosen, Dietrich
Sammanfattning
The aim of the paper is to determine maximum-likelihood estimation equations. Observations follow a multivariate normal distribution, X-i similar to N-p,N-q (mu, Psi, Sigma), where D[X-i] = Sigma circle times Psi, Psi and Sigma describe the unknown covariance structure between rows and columns of X-i, respectively. Imposing restrictions on Psi and Sigma four types of covariance structures will be considered.
Nyckelord
Compound symmetric structure; Kronecker product; matrix derivatives; maximum-likelihood estimation
Publicerad i
Communications in Statistics - Theory and Methods
2017, volym: 46, nummer: 16, sidor: 7902-7915
Utgivare: TAYLOR & FRANCIS INC
SLU författare
UKÄ forskningsämne
Sannolikhetsteori och statistik
Publikationens identifierare
- DOI: https://doi.org/10.1080/03610926.2016.1165852
Permanent länk till denna sida (URI)
https://res.slu.se/id/publ/92496