sEparaTe

swMATH15351CRANsEparaTeMaRDI QIDQ27240FDOQ27240

Maximum Likelihood Estimation and Likelihood Ratio Test Functions for Separable Variance-Covariance Structures

Pierre Dutilleul, Timothy Schwinghamer, Ameur M. Manceur

Last update: 18 August 2023

Copyright license: MIT license, File License

Software version identifier: 0.3.0, 0.1.0, 0.1.1, 0.1.2, 0.2.1, 0.3.1, 0.3.2

Source code repository: https://github.com/cran/sEparaTe

Description

Maximum likelihood estimation of the parameters of matrix and 3rd-order tensor normal distributions with unstructured factor variance covariance matrices, two procedures, and for unbiased modified likelihood ratio testing of simple and double separability for variance-covariance structures, two procedures. References: Dutilleul P. (1999) <doi:10.1080/00949659908811970>, Manceur AM, Dutilleul P. (2013) <doi:10.1016/j.cam.2012.09.017>, and Manceur AM, Dutilleul P. (2013) <doi:10.1016/j.spl.2012.10.020>.

Cites work

• Maximum likelihood estimation for the tensor normal distribution: Algorithm, minimum sample size, and empirical bias and dispersion
• Unbiased modified likelihood ratio tests for simple and double separability of a variance-covariance structure
• The mle algorithm for the matrix normal distribution

Cited In (1)

• A note on necessary and sufficient conditions of existence and uniqueness for the maximum likelihood estimator of a Kronecker-product variance-covariance matrix

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