A new nested Cholesky decomposition and estimation for the covariance matrix of bivariate longitudinal data

DOI10.1016/j.csda.2016.04.006zbMath1466.62066OpenAlexW2346092222MaRDI QIDQ1659029

Heng Lian, San Ying Feng, Liu Gen Xue

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2016.04.006

zbMATH Keywords

maximum likelihood estimationvariable selectioncovariance structuremoving averageCholesky decompositionmultivariate longitudinal data

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12)

Related Items

Robust estimation for the correlation matrix of multivariate longitudinal data, Robust modeling of multivariate longitudinal data using modified Cholesky and hypersphere decompositions, Analysis of multivariate longitudinal data using ARMA Cholesky and hypersphere decompositions, Triangular angles parameterization for the correlation matrix of bivariate longitudinal data, Correlation structure regularization via entropy loss function for high-dimension and low-sample-size data, Adaptive robust estimation in joint mean–covariance regression model for bivariate longitudinal data

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