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More on the Kronecker Structured Covariance Matrix
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2012 (English)In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 41, no 13-14, 2512-2523 p.Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
2012. Vol. 41, no 13-14, 2512-2523 p.
Keyword [en]
Double separable covariance, Kronecker product structure, Maximum likelihood estimators, Separable covariance
National Category
Mathematics
Identifiers
URN: urn:nbn:se:uu:diva-178958DOI: 10.1080/03610926.2011.615971ISI: 000305208600019OAI: oai:DiVA.org:uu-178958DiVA: diva2:542834
Available from: 2012-08-03 Created: 2012-08-02 Last updated: 2017-12-07Bibliographically approved

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Ahmad, M. Rauf

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