Maximum likelihood estimation of the linearly structured correlation matrix by a Jacobi-type iterative scheme

DOI10.1080/00949655.2011.641967MaRDI QIDQ2862389zbMATH OpenOpenAlexFDO

Authors Saran Ishika Maiti, Sadhan Samar Maiti

Publication date 15 November 2013

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2011.641967

zbMATH Keywords

Toeplitz matrixJacobian matrixvec operatorconvergence of an iterative schemelinearly structured correlation matrixmatrix and vector normsmaximum likelihood estimate of a vector parameter

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Point estimation (62F10) Estimation in multivariate analysis (62H12)

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Cites work

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• Asymptotically efficient estimation of covariance matrices with linear structure
• Explicit maximum likelihood estimators for certain patterned covariance matrices
• Iterative maximum‐likelihood estimation of parameters of the Toeplitz correlation structure
• Newton-Raphson and Related Algorithms for Maximum Likelihood Variance Component Estimation
• Some contributions to maximum likelihood factor analysis
• TECHNIQUES OF COVARIANCE STRUCTURAL ANALYSIS1
• Testing pattern hypotheses for covariance matrices
• The analysis of patterned correlation matrices by generalized least squares

Cited in

(1)

• Iterative maximum‐likelihood estimation of parameters of the Toeplitz correlation structure

Describes a project that uses

Uses Software

• LISREL
• clusterGeneration

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