A note on necessary and sufficient conditions of existence and uniqueness for the maximum likelihood estimator of a Kronecker-product variance-covariance matrix

DOI10.1007/S42952-020-00066-5MaRDI QIDQ2132010zbMATH OpenOpenAlexFDO

Authors Pierre Dutilleul

Publication date 27 April 2022

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s42952-020-00066-5

zbMATH Keywords

estimation algorithmexistence and uniqueness of estimatorsKronecker-product variance-covariance matricesmaximum likelihood estimationnecessary versus sufficient conditions

Mathematics Subject Classification ID

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

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Cites work

• A comparison of likelihood ratio tests and Rao's score test for three separable covariance matrix structures
• Classification of higher-order data with separable covariance and structured multiplicative or additive mean models
• Existence and uniqueness of the maximum likelihood estimator for models with a Kronecker product covariance structure
• Gaussian and robust Kronecker product covariance estimation: existence and uniqueness
• scientific article; zbMATH DE number 3781344 (Why is no real title available?)
• scientific article; zbMATH DE number 806806 (Why is no real title available?)
• Maximum likelihood estimation for the tensor normal distribution: Algorithm, minimum sample size, and empirical bias and dispersion
• Models with a Kronecker product covariance structure: estimation and testing
• On the existence of positive-definite maximum-likelihood estimates of structured covariance matrices
• Score test for a separable covariance structure with the first component as compound symmetric correlation matrix
• The likelihood ratio test for a separable covariance matrix
• The mle algorithm for the matrix normal distribution

Cited in

(5)

• On two expressions of the MLE for a special case of the extended growth curve models
• Gaussian and robust Kronecker product covariance estimation: existence and uniqueness
• Regularized estimation of Kronecker structured covariance matrix using modified Cholesky decomposition
• Testing correlation in a three-level model
• Existence and uniqueness of the maximum likelihood estimator for models with a Kronecker product covariance structure

Describes a project that uses

Uses Software

• CRAN
• sEparaTe

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