scientific article; zbMATH DE number 192992

zbMATH Open0651.15001MaRDI QIDQ4039873FDOQ4039873

Authors: Jan R. Magnus, Heinz Neudecker 

Publication date: 5 June 1993

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zbMATH Keywords

maximum likelihood estimationmatricesMoore-Penrose inversepsychometricsJacobian matricesmultivariate linear regressionKronecker productsHessian matricesInequalitiesvectorsmatrix differential calculusvec operatorStatic optimization

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Linear regression; mixed models (62J05) Applications of statistics to psychology (62P15) Inequalities involving eigenvalues and eigenvectors (15A42) Theory of matrix inversion and generalized inverses (15A09) Miscellaneous inequalities involving matrices (15A45) Calculus of vector functions (26B12) Differential geometric aspects in vector and tensor analysis (53A45) Research exposition (monographs, survey articles) pertaining to linear algebra (15-02)

Cited In (only showing first 100 items - show all)

• Asymptotic theory for multivariate GARCH processes.
• On the information-based measure of covariance complexity and its application to the evaluation of multivariate linear models
• Bias reduction for dynamic nonlinear panel models with fixed effects
• Influence analyses of skew-normal/independent linear mixed models
• Variational inference for generalized linear mixed models using partially noncentered parametrizations
• Assessment of local influence in elliptical linear models with longitudinal structure
• Laplace approximations for hypergeometric functions with matrix argument
• Variational Methods for Denoising Matrix Fields
• Unrestricted maximum likelihood estimation of multivariate realized volatility models
• Just‐Identified Versus Overidentified Two‐Level Hierarchical Linear Models with Missing Data
• GMM inference when the number of moment conditions in large
• Informational complexity criteria for regression models.
• Variational inference for sparse spectrum Gaussian process regression
• MM algorithms for generalized Bradley-Terry models.
• LONG-RUN STRUCTURAL MODELLING
• Robust statistics for test-of-independence and related structural models
• Convergence analysis of a collapsed Gibbs sampler for Bayesian vector autoregressions
• Identification and estimation of Gaussian affine term structure models
• Dimensionality reduction approach to multivariate prediction
• Matching in closed-form: equilibrium, identification, and comparative statics
• Multivariable spatial prediction
• Berry-Esseen bounds for estimating undirected graphs
• A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems
• Local linearization filters for non-linear continuous-discrete state space models with multiplicative noise
• Sensitivity analysis of SAR estimators: a numerical approximation
• Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data
• Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
• Laplace approximations to hypergeometric functions of two matrix arguments
• A stochastic variational framework for fitting and diagnosing generalized linear mixed models
• Adaptive dynamics for physiologically structured population models
• Second-order nonlinear least squares estimation
• Wishart processes
• Polynomial cointegration. Estimation and test
• On the use of panel data in stochastic frontier models with improper priors
• Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
• Difference in difference meets generalized least squares: higher order properties of hypotheses tests
• A non-Gaussian spatial generalized linear latent variable model
• Asymptotic expansions of the null distributions of some test statistics for profile analysis in general distributions
• Structured mixed and componentwise condition numbers of some structured matrices
• Direct cointegration testing in error correction models
• Extracting a common stochastic trend: theory with some applications
• On strong solutions for positive definite jump diffusions
• Structural changes in the cointegrated vector autoregressive model
• Discriminant analysis for locally stationary processes
• Error analysis for general multtvariate kernel estimators
• Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• A higher order local linearization method for solving ordinary differential equations
• Factor analysis with EM algorithm never gives improper solutions when sample covariance and initial parameter matrices are proper
• Laplace approximation for Bessel functions of matrix argument
• Jeffreys prior analysis of the simultaneous equations model in the case with \(n+1\) endogenous variables.
• Bayesian and classical approaches to instrumental variable regression
• On the functional estimation of multivariate diffusion processes
• Local influence assessment in the growth curve model with unstructured covariance
• Impulse response analysis in infinite order cointegrated vector autoregressive processes
• Testing multiple equation systems for common nonlinear components
• Bayesian analysis of the error correction model
• Testing for nonzero impulse responses in vector autoregressive processes
• Some limit theory for autocovariances whose order depends on sample size
• Linear latent variable models: the lava-package
• Inference on one-way effect and evidence in Japanese macroeconomic data
• Matrix algebra for higher order moments
• Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns
• Equivariant minimax dominators of the MLE in the array normal model
• Equivalent models in covariance structure analysis
• Analytical quasi maximum likelihood inference in multivariate volatility models
• Dynamic properties of the local linearization method for initial value problems.
• Inferences on correlation coefficients in some classes of nonnormal distributions
• E-stability vis-a-vis determinacy results for a broad class of linear rational expectations models
• Integrated data envelopment analysis: global vs. local optimum
• Error analysis of an algorithm for equality-constrained quadratic programming problems
• A finite sample correction for the variance of linear efficient two-step GMM estimators
• Multivariate arma models with generalized autoregressive linear innovation
• Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments
• Minimum Hellinger distance estimators for multivariate distributions from the Johnson system
• Long difference instrumental variables estimation for dynamic panel models with fixed effects
• Nonparametric ridge estimation
• Computing the noise covariance matrix of the local linearization scheme for the numerical solution of stochastic differential equations
• Factor representing portfolios in large asset markets
• Eigenvalue comparisons for second order difference equations with Neumann boundary conditions
• Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling
• The second-order bias and mean squared error of nonlinear estimators
• The geometry of linearly and quadratically constrained optimization problems for signal processing and communications
• On second order conditions for equality constrained extremum problems
• The estimation of normal mixtures with latent variables
• PkStaMp library for constructing optimal population designs for PK/PD studies
• Cross-validation Bandwidth Matrices for Multivariate Kernel Density Estimation
• Identification, estimation and testing of conditionally heteroskedastic factor models
• Influence Diagnostics for Elliptical Multivariate Linear Regression Models
• Robust maximum-likelihood estimation of multivariable dynamic systems
• Efficient estimation of factor models
• The econometrics of mean‐variance efficiency tests: a survey
• Asymptotic expansions for a class of tests for a general covariance structure under a local alternative
• Second-order polynomial estimators from uncertain observations using covariance information
• A note on modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index dataset
• Some properties of \([tr(Q^{2p})]^{1/2p}\) with application to linear minimax estimation
• Multivariate elliptical models with general parameterization
• On inference from Markov chain macro-data using transforms
• Influence diagnostics in the capital asset pricing model under elliptical distributions
• ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS

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