A higher-order LQ decomposition for separable covariance models

DOI10.1016/J.LAA.2016.04.033MaRDI QIDQ149116zbMATH OpenOpenAlexFDO

Authors David Gerard, Peter D. Hoff

Publication date September 2016

Published in Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.1094

zbMATH Keywords

tensorsingular value decompositionlikelihood ratio testLQ decompositionpolar decompositionTucker decomposition

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Multilinear algebra, tensor calculus (15A69) Numerical linear algebra (65F99)

Abstract: We develop a higher order generalization of the LQ decomposition and show that this decomposition plays an important role in likelihood-based estimation and testing for separable, or Kronecker structured, covariance models, such as the multilinear normal model. This role is analogous to that of the LQ decomposition in likelihood inference for the multivariate normal model. Additionally, this higher order LQ decomposition can be used to construct an alternative version of the popular higher order singular value decomposition for tensor-valued data. We also develop a novel generalization of the polar decomposition to tensor-valued data.

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Cited in

(2)

• Triangular decomposition of CP factors of a third-order tensor with application to solving nonlinear systems of equations
• On the largest multilinear singular values of higher-order tensors

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Uses Software

• R

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