von Rosen, Dietrich
- Department of Energy and Technology, Swedish University of Agricultural Sciences
- Linköping University
Research article - Peer-reviewed, 2017
Estimation equations for multivariate linear models with Kronecker structured covariance matrices
Szczepanska-Alvarez, Anna; Hao, Chengcheng; Liang, Yuli; von Rosen, Dietrich
Abstract
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.
Keywords
Compound symmetric structure; Kronecker product; matrix derivatives; maximum-likelihood estimation
Published in
Communications in Statistics - Theory and Methods
2017, Volume: 46, number: 16, pages: 7902-7915
Publisher: TAYLOR & FRANCIS INC
SLU Authors
UKÄ Subject classification
Probability Theory and Statistics
Publication Identifiers
DOI: https://doi.org/10.1080/03610926.2016.1165852
Permanent link to this page (URI)
https://res.slu.se/id/publ/92496