Existence and uniqueness of the Kronecker covariance MLE

DOI10.1214/21-AOS2052zbMath1480.62096arXiv2003.06024MaRDI QIDQ2054526

Mathias Drton, Peter D. Hoff, Satoshi Kuriki

Publication date: 3 December 2021

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.06024

zbMATH Keywords

maximum likelihood estimation; Gaussian distribution; Kronecker canonical form; separable covariance; matrix normal model

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62R01: Algebraic statistics