User: Guest  Login
Less Searchfields
Simple search
Title:

Existence and uniqueness of the Kronecker covariance MLE

Document type:
Zeitschriftenaufsatz
Author(s):
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...     »
Keywords:
Gaussian distribution, Kronecker canonical form, matrix normal model, maximum likelihood estimation, separable covariance
Dewey Decimal Classification:
510 Mathematik
Journal title:
The Annals of Statistics
Year:
2021
Journal volume:
49
Year / month:
2021-10
Quarter:
4. Quartal
Month:
Oct
Journal issue:
5
Pages contribution:
2721-2754
Fulltext / DOI:
doi:10.1214/21-aos2052
Publisher:
Institute of Mathematical Statistics
E-ISSN:
0090-5364
Accepted:
01.03.2020
Date of publication:
01.10.2021
Copyright statement:
First available in Project Euclid: 12 November 2021
Semester:
WS 21-22
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
 BibTeX