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Title:

Rational maximum likelihood estimators of Kronecker covariance matrices

Document type:
Zeitschriftenaufsatz
Author(s):
Drton, Mathias; Grosdos, Alexandros; McCormack, Andrew
Abstract:
As is the case for many curved exponential families, the computation of maximum likelihood estimates in a multivariate normal model with a Kronecker covariance structure is typically carried out with an iterative algorithm, specifically, a block-coordinate ascent algorithm. We highlight a setting, specified by a coprime relationship between the sample size and dimension of the Kronecker factors, where the likelihood equations have algebraic degree one and an explicit, easy-to-evaluate rational f...     »
Keywords:
Gaussian distribution, Kronecker covariance, matrix normal model, maximum likelihood degree, maximum likelihood estimation
Dewey Decimal Classification:
510 Mathematik
Journal title:
Algebraic Statistics
Year:
2024
Journal volume:
15
Year / month:
2024-08
Quarter:
3. Quartal
Month:
Aug
Journal issue:
1
Pages contribution:
145-164
Language:
en
Fulltext / DOI:
doi:10.2140/astat.2024.15.145
Publisher:
Mathematical Sciences Publishers
E-ISSN:
2693-30042693-2997
Accepted:
05.06.2024
Date of publication:
28.08.2024
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