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

• Ahmad, Rauf

  • Department of Energy and Technology, Swedish University of Agricultural Sciences
    

• von Rosen, Dietrich

  • 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