Cholesky Decompositions and Estimation of A Covariance Matrix: Orthogonality of Variance Correlation Parameters (Q3606652)
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scientific article; zbMATH DE number 5519750
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| English | Cholesky Decompositions and Estimation of A Covariance Matrix: Orthogonality of Variance Correlation Parameters |
scientific article; zbMATH DE number 5519750 |
Statements
Cholesky Decompositions and Estimation of A Covariance Matrix: Orthogonality of Variance Correlation Parameters (English)
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26 February 2009
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maximum likelihood estimation
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moving average coefficient
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positive-definiteness constraint
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unconstrained parameterization
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variance-correlation separation
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0.7923847436904907
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0.7675098180770874
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0.7579728960990906
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0.7517176866531372
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