Simultaneous modelling of the Cholesky decomposition of several covariance matrices

DOI10.1016/J.JMVA.2005.11.002zbMATH Open1107.62043OpenAlexW2080610970MaRDI QIDQ873623FDOQ873623

Michael J. Daniels, Trevor Park, M. Pourahmadi

Publication date: 29 March 2007

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2005.11.002

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zbMATH Keywords

longitudinal datamaximum likelihood estimationmissing datacommon principal componentsspectral decompositionvariance--correlation decomposition

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to biology and medical sciences; meta analysis (62P10) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15)

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Cited In (24)

• Cholesky-based model averaging for covariance matrix estimation
• Bayesian Hierarchical Models With Conjugate Full-Conditional Distributions for Dependent Data From the Natural Exponential Family
• Model-based clustering
• Unconstrained representation of orthogonal matrices with application to common principal components
• Simultaneous procedures for covariance matrices
• Random covariances and mixed-effects models for imputing multivariate multilevel continuous data
• Improved Stein-type shrinkage estimators for the high-dimensional multivariate normal covariance matrix
• On variable ordination of Cholesky‐based estimation for a sparse covariance matrix
• Multivariate spectral analysis using Cholesky decomposition
• Model‐based clustering of longitudinal data
• A shrinkage approach to joint estimation of multiple covariance matrices
• Bayesian modeling of several covariance matrices and some results on propriety of the posterior for linear regression with correlated and/or heterogeneous errors
• A Bayesian hierarchical sparse factor model for estimating simultaneous covariance matrices for gestational outcomes in consecutive pregnancies
• CHOLESKY DECOMPOSITION OF A VARIANCE MATRIX IN REPEATED MEASURES ANALYSIS
• Cholesky Decompositions and Estimation of A Covariance Matrix: Orthogonality of Variance Correlation Parameters
• Covariate‐based cepstral parameterizations for time‐varying spatial error covariances
• Multilinear Common Component Analysis via Kronecker Product Representation
• On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices
• A Cholesky-based estimation for large-dimensional covariance matrices
• Stable estimation of a covariance matrix guided by nuclear norm penalties
• Principal regression for high dimensional covariance matrices
• Marginalized transition random effect models for multivariate longitudinal binary data
• Bayesian hierarchical modeling on covariance valued data
• On the asymptotic distribution of the periodograms for the discrete time harmonizable simple processes

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