Multilevel maximum likelihood estimation with application to covariance matrices

DOI10.1080/03610926.2017.1422755MaRDI QIDQ5078290zbMATH OpenOpenAlexWikidataFDO

Authors Marie Turčičová, Jan Mandel, Kryštof Eben

Publication date 23 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1701.08185

zbMATH Keywords

Fisher informationhierarchical maximum likelihoodhigh dimensionnested parameter spacessparse inverse covariance modelspectral diagonal covariance model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12)

Cites work

• A well-conditioned estimator for large-dimensional covariance matrices
• Condition-number-regularized covariance estimation
• Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
• Gaussian measures in Banach spaces
• How close is the sample covariance matrix to the actual covariance matrix?
• scientific article; zbMATH DE number 1220667 (Why is no real title available?)
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• Linear Statistical Inference and its Applications
• Trace inequalities and quantum entropy: an introductory course

Cited in

(5)

• Estimating covariate functions associated to multivariate risks: a level set approach
• Maximum likelihood estimation of generalised linear models for multivariate normal covariance matrix
• scientific article; zbMATH DE number 910669 (Why is no real title available?)
• Matrix inference and estimation in multi-layer models*
• A Multilevel Approach to Variance Reduction in the Stochastic Estimation of the Trace of a Matrix

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