Gaussian and robust Kronecker product covariance estimation: existence and uniqueness

DOI10.1016/J.JMVA.2016.04.001zbMath1341.62132arXiv1512.00336OpenAlexW2287893571MaRDI QIDQ290708

Ilya Soloveychik, Dmitry Trushin

Publication date: 3 June 2016

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.00336

zbMATH Keywords

robust estimationKronecker product structureconstrained covariance estimationhigh-dimensional estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Multivariate analysis (62H99) Estimation in multivariate analysis (62H12) Point estimation (62F10) Parametric inference under constraints (62F30) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (10)

A note on necessary and sufficient conditions of existence and uniqueness for the maximum likelihood estimator of a Kronecker-product variance-covariance matrix ⋮ Classification With the Matrix-Variate-t Distribution ⋮ Almost sure uniqueness of a global minimum without convexity ⋮ Maximum likelihood estimation for tensor normal models via castling transforms ⋮ Robust tests for scatter separability beyond Gaussianity ⋮ Discrepancy between structured matrices in the power analysis of a separability test ⋮ A review of Tyler's shape matrix and its extensions ⋮ Rational maximum likelihood estimators of Kronecker covariance matrices ⋮ Existence and uniqueness of the Kronecker covariance MLE ⋮ Unnamed Item

Uses Software

• glasso

Cites Work

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