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Titel:

Rational maximum likelihood estimators of Kronecker covariance matrices

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
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...     »
Stichworte:
Gaussian distribution, Kronecker covariance, matrix normal model, maximum likelihood degree, maximum likelihood estimation
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Algebraic Statistics
Jahr:
2024
Band / Volume:
15
Jahr / Monat:
2024-08
Quartal:
3. Quartal
Monat:
Aug
Heft / Issue:
1
Seitenangaben Beitrag:
145-164
Sprache:
en
Volltext / DOI:
doi:10.2140/astat.2024.15.145
Verlag / Institution:
Mathematical Sciences Publishers
E-ISSN:
2693-30042693-2997
Angenommen (von Zeitschrift):
05.06.2024
Publikationsdatum:
28.08.2024
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