Core shrinkage covariance estimation for matrix-variate data

DOI10.1093/JRSSSB/QKAD070MaRDI QIDQ6627082zbMATH OpenFDO

Authors Peter D. Hoff, Andrew McCormack, Anru R. Zhang

Publication date 29 October 2024

Published in Journal of the Royal Statistical Society. Series B. Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/JRSSSB/QKAD070

zbMATH Keywords

decorrelationequivarianceKronecker productmatrix decompositionmatrix square rootwhitening

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(6)

• Rational maximum likelihood estimators of Kronecker covariance matrices
• Bayesian covariance estimation for multi-group matrix-variate data
• Information geometry and asymptotics for Kronecker covariances
• Mode-wise principal subspace pursuit and matrix spiked covariance model
• Functional post-clustering selective inference with applications to EHR data analysis
• Likelihood-based inference with separable correlation matrices

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