Estimation of the covariance matrix using the vectorized observation matrix

DOI10.5281/ZENODO.16786510MaRDI QIDQ6911018zbMATH OpenFDO

Authors Jorge Lemagne Pérez

Publication date 27 October 2025

Published in Revista Ciencias Matemáticas (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.5281/ZENODO.16786510

zbMATH Keywords

algorithms for statisticscovariance matrixmultivariate methods

Mathematics Subject Classification ID

Positive matrices and their generalizations; cones of matrices (15B48) Software, source code, etc. for problems pertaining to statistics (62-04) Estimation in multivariate analysis (62H12) General topics in the theory of algorithms (68W01)

Cites work

• Applied multivariate statistical analysis.
• High-dimensional multivariate repeated measures analysis with unequal covariance matrices
• Introduction to Time Series and Forecasting
• Methods of multivariate analysis
• Multivariate analysis of covariance with potentially singular covariance matrices and non-normal responses

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