Simultaneous modelling of the Cholesky decomposition of several covariance matrices

DOI10.1016/J.JMVA.2005.11.002MaRDI QIDQ873623zbMATH OpenOpenAlexFDO

Authors M. Pourahmadi, Michael J. Daniels, Trevor Park

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

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

(25)

• Model-based clustering of longitudinal data
• Cholesky-based model averaging for covariance matrix estimation
• Model-based clustering
• Cholesky-GARCH models with applications to finance
• Multilinear common component analysis via Kronecker product representation
• 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
• Bayesian hierarchical models with conjugate full-conditional distributions for dependent data from the natural exponential family
• 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
• On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices
• Stable estimation of a covariance matrix guided by nuclear norm penalties
• A Cholesky-based estimation for large-dimensional covariance matrices
• Principal regression for high dimensional covariance matrices
• On the asymptotic distribution of the periodograms for the discrete time harmonizable simple processes
• Marginalized transition random effect models for multivariate longitudinal binary data
• Bayesian hierarchical modeling on covariance valued data

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