Gaussian and robust Kronecker product covariance estimation: existence and uniqueness (Q290708)

scientific article; zbMATH DE number 6588926

Language	Label	Description	Also known as
English	Gaussian and robust Kronecker product covariance estimation: existence and uniqueness	scientific article; zbMATH DE number 6588926

Statements

instance of

scholarly article

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title

Gaussian and robust Kronecker product covariance estimation: existence and uniqueness (English)

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published in

Journal of Multivariate Analysis

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publication date

3 June 2016

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full work available at URL

https://arxiv.org/abs/1512.00336

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zbMATH Keywords

constrained covariance estimation

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robust estimation

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high-dimensional estimation

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Kronecker product structure

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author

I. Soloveychik

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D. Trushin

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describes a project that uses

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Block matrices with L-block-banded inverse: inversion algorithms

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Q3096116

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Regularized estimation of large covariance matrices

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Robust Shrinkage Estimation of High-Dimensional Covariance Matrices

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Statistics for Spatial Data

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Some matrix-variate distribution theory: Notational considerations and a Bayesian application

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Modeling the Spatial and Temporal Dependence in fMRI Data

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The mle algorithm for the matrix normal distribution

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High dimensional covariance matrix estimation using a factor model

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Cramér-Rao Lower Bounds on Covariance Matrix Estimation for Complex Elliptically Symmetric Distributions

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Hub Discovery in Partial Correlation Graphs

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Robust Estimation of a Location Parameter

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Rejoinder

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Q4382293

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High-dimensional covariance matrix estimation with missing observations

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The likelihood ratio test for a separable covariance matrix

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Covariance Structure Maximum-Likelihood Estimates in Compound Gaussian Noise: Existence and Algorithm Analysis

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Geodesic convexity in nonlinear optimization

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High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence

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Existence and uniqueness of the maximum likelihood estimator for models with a Kronecker product covariance structure

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Sparse permutation invariant covariance estimation

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Group symmetry and covariance regularization

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Tyler's Covariance Matrix Estimator in Elliptical Models With Convex Structure

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Performance Analysis of Tyler's Covariance Estimator

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Group Symmetric Robust Covariance Estimation

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Models with a Kronecker product covariance structure: estimation and testing

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Regularized Robust Estimation of Mean and Covariance Matrix Under Heavy-Tailed Distributions

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On Convergence of Kronecker Graphical Lasso Algorithms

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A distribution-free M-estimator of multivariate scatter

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On Estimation of Covariance Matrices With Kronecker Product Structure

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Geodesic Convexity and Covariance Estimation

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Unified Framework to Regularized Covariance Estimation in Scaled Gaussian Models

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Time Varying Autoregressive Moving Average Models for Covariance Estimation

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Structured Robust Covariance Estimation

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Model selection and estimation in the matrix normal graphical model

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Model selection and estimation in the Gaussian graphical model

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Identifiers

zbMATH Open document ID

1341.62132

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Mathematics Subject Classification ID

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10.1016/J.JMVA.2016.04.001

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Sitelinks

Mathematics(1 entry)

mardi Publication:290708