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More on the Kronecker Structured Covariance Matrix
Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.ORCID iD: 0000-0001-9896-4438
Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
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 paper, 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
Taylor & Francis, 2012. Vol. 41, no 13-14, 2512-2523 p.
Keyword [en]
Kronecker product structure, Separable covariance, Double separable covariance, Maximum likelihood estimators
National Category
Mathematics
Identifiers
URN: urn:nbn:se:liu:diva-67576DOI: 10.1080/03610926.2011.615971ISI: 000305208600019OAI: oai:DiVA.org:liu-67576DiVA: diva2:411400
Available from: 2011-04-18 Created: 2011-04-18 Last updated: 2014-09-29

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Ohlson, MartinAhmad, M. Raufvon Rosen, Dietrich
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