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Titel:

Existence and uniqueness of the Kronecker covariance MLE

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Drton, Mathias; Kuriki, Satoshi; Hoff, Peter
Abstract:
In matrix-valued datasets the sampled matrices often exhibit correlations among both their rows and their columns. A useful and parsimonious model of such dependence is the matrix normal model, in which the covariances among the elements of a random matrix are parameterized in terms of the Kronecker product of two covariance matrices, one representing row covariances and one representing column covariance. An appealing feature of such a matrix normal model is that the Kronecker covariance struct...     »
Stichworte:
Gaussian distribution, Kronecker canonical form, matrix normal model, maximum likelihood estimation, separable covariance
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
The Annals of Statistics
Jahr:
2021
Band / Volume:
49
Jahr / Monat:
2021-10
Quartal:
4. Quartal
Monat:
Oct
Heft / Issue:
5
Seitenangaben Beitrag:
2721-2754
Volltext / DOI:
doi:10.1214/21-aos2052
Verlag / Institution:
Institute of Mathematical Statistics
E-ISSN:
0090-5364
Angenommen (von Zeitschrift):
01.03.2020
Publikationsdatum:
01.10.2021
Copyright Informationen:
First available in Project Euclid: 12 November 2021
Semester:
WS 21-22
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
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