Ahmad, Rauf
- Department of Energy and Technology, Swedish University of Agricultural Sciences
Abstract
In this article, the multivariate normal distribution with a Kronecker product structured covariance matrix is studied. Particularly focused is the estimation of a Kronecker structured covariance matrix of order three, the so called double separable covariance matrix. The suggested estimation generalizes the procedure proposed by Srivastava et al. (2008) for a separable covariance matrix. The restrictions imposed by separability and double separability are also discussed.
Keywords
Double separable covariance; Kronecker product structure; Maximum likelihood estimators; Separable covariance
Published in
Communications in Statistics - Theory and Methods
2012, volume: 41, number: 13-14, pages: 2512-2523
Publisher: TAYLOR & FRANCIS INC
SLU Authors
von Rosen, Dietrich
- Department of Energy and Technology, Swedish University of Agricultural Sciences
- Department of Energy and Technology, Swedish University of Agricultural Sciences
UKÄ Subject classification
Probability Theory and Statistics
Publication identifier
- DOI: https://doi.org/10.1080/03610926.2011.615971
Permanent link to this page (URI)
https://res.slu.se/id/publ/45516