A new nested Cholesky decomposition and estimation for the covariance matrix of bivariate longitudinal data

DOI10.1016/J.CSDA.2016.04.006zbMath1466.62066OpenAlexW2346092222MaRDI QIDQ1659029

Heng Lian, San Ying Feng, Liu Gen Xue

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2016.04.006

zbMATH Keywords

maximum likelihood estimationvariable selectioncovariance structuremoving averageCholesky decompositionmultivariate longitudinal data

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12)

Related Items (6)

Robust estimation for the correlation matrix of multivariate longitudinal data ⋮ Robust modeling of multivariate longitudinal data using modified Cholesky and hypersphere decompositions ⋮ Analysis of multivariate longitudinal data using ARMA Cholesky and hypersphere decompositions ⋮ Triangular angles parameterization for the correlation matrix of bivariate longitudinal data ⋮ Correlation structure regularization via entropy loss function for high-dimension and low-sample-size data ⋮ Adaptive robust estimation in joint mean–covariance regression model for bivariate longitudinal data

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