Spectral models for covariance matrices

DOI10.1093/BIOMET/89.1.159zbMATH Open0997.62046OpenAlexW2115161662MaRDI QIDQ4547584FDOQ4547584

Authors: Robert J. Boik 

Publication date: 14 November 2002

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/89.1.159

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zbMATH Keywords

principal componentsmaximum likelihoodcommon principal componentssphericityorthogonal matrixelliptically contoured distributionseigenprojectioneigenspaceproportional covariance matricesBartlett correctionscommon spacepartial sphericity

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25)

Cited In (31)

• Model-based principal components of correlation matrices
• Covariance reducing models: An alternative to spectral modelling of covariance matrices
• Principal components on coefficient of variation matrices
• Covariance estimation: the GLM and regularization perspectives
• Covariance Models with Spectral Additive Components
• Multilinear common component analysis via Kronecker product representation
• Reducing subspace models for large‐scale covariance regression
• Unconstrained representation of orthogonal matrices with application to common principal components
• Semiparametric partial common principal component analysis for covariance matrices
• Limit theorem associated with Wishart matrices with application to hypothesis testing for common principal components
• Spectra of bivariate \(\mathrm{VAR}(p)\) models
• Simultaneous modelling of the Cholesky decomposition of several covariance matrices
• A shrinkage approach to joint estimation of multiple covariance matrices
• Testing for common principal components under heterokurticity
• Bayesian modeling of several covariance matrices and some results on propriety of the posterior for linear regression with correlated and/or heterogeneous errors
• A link-free approach for testing common indices for three or more multi-index models
• The Matrix-Logarithmic Covariance Model
• Newton algorithms for analytic rotation: an implicit function approach
• Reduced-rank estimation of the difference between two covariance matrices
• Second-order accurate inference on eigenvalues of covariance and correlation matrices
• A Bayesian hierarchical sparse factor model for estimating simultaneous covariance matrices for gestational outcomes in consecutive pregnancies
• Estimation of covariance matrix via the sparse Cholesky factor with lasso
• Efficient computation for differential network analysis with applications to quadratic discriminant analysis
• Estimating common principal components in high dimensions
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• More on the Kronecker structured covariance matrix
• Shared subspace models for multi-group covariance estimation
• Double shrinkage estimators for large sparse covariance matrices
• Principal regression for high dimensional covariance matrices
• Bayesian hierarchical modeling on covariance valued data
• Optimal rank-based tests for common principal components

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