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

DOI10.1111/J.2044-8317.1988.TB00888.XMaRDI QIDQ5750166zbMATH OpenOpenAlexFDO

Authors Bishwa Nath Mukherjee, Sadhan Samar Maiti

Publication date 1988

Published in British Journal of Mathematical and Statistical Psychology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.2044-8317.1988.tb00888.x

zbMATH Keywords

iterative algorithmLaurent correlation matrixmaximum-likelihood estimatesToeplitz correlation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cited in

(7)

• Fitting ARMA time series by structural equation models
• From Bareiss' algorithm to the stable computation of partial correlations
• Maximum likelihood estimation of the linearly structured correlation matrix by a Jacobi-type iterative scheme
• Correlation structure in iterated Farlie-Gumbel-Morgenstern distributions
• On local maxima of the likelihood function for Toeplitz matrix estimation
• MAXIMUM LIKELIHOOD ESTIMATION OF AUTOCOVARIANCE MATRICES FROM REPLICATED SHORT TIME SERIES
• Generating random \(\mathrm{AR}(p)\) and \(\mathrm{MA}(q)\) Toeplitz correlation matrices

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