Large-Scale Estimation of Variance and Covariance Components

DOI10.1137/0916013MaRDI QIDQ4325710zbMATH OpenOpenAlexFDO

Authors Chris Fraley, Patrick J. Burns

Publication date 18 June 1995

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/a600b08d28e056e487b44d99f7ada29be5d67c09

zbMATH Keywords

EM algorithmslinear modelinglinear regressionmatrix computationsnonlinear optimizationREMLrestricted maximum likelihood estimationsparse matrix methodssymmetric-indefinite systemsvariance and covariance component estimation

Mathematics Subject Classification ID

Basic linear algebra (15A99) Analysis of variance and covariance (ANOVA) (62J10) Probabilistic methods, stochastic differential equations (65C99) Computational methods for sparse matrices (65F50) Numerical optimization and variational techniques (65K10)

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Cited in

(7)

• A composite likelihood approach to (co)variance components estimation
• Computing covariance matrices for constrained nonlinear large scale parameter estimation problems using Krylov subspace methods
• Numerically Stable Implementations of the Structured Covariance Expectation-Maximization Algorithm
• scientific article; zbMATH DE number 4062402 (Why is no real title available?)
• A Sparse Implementation of the Average Information Algorithm for Factor Analytic and Reduced Rank Variance Models
• Large System Spectral Analysis of Covariance Matrix Estimation
• Longitudinal modeling of age-dependent latent traits with generalized additive latent and mixed models

Describes a project that uses

Uses Software

• Algorithm 611

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