Estimation of proportional covariances in the presence of certain linear restrictions.
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Publication:1884611
DOI10.1214/aos/1079120134zbMath1105.62348OpenAlexW2079146269MaRDI QIDQ1884611
Søren Tolver Jensen, Jesper Madsen
Publication date: 5 November 2004
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aos/1079120134
maximum likelihood estimationconvexityJordan algebranatural exponential familiesprofile likelihood functionproportional covariances
Related Items (7)
Testing proportionality of two large-dimensional covariance matrices ⋮ Positive projections of symmetric matrices and Jordan algebras ⋮ High-dimensional testing for proportional covariance matrices ⋮ Testing proportionality of two high-dimensional covariance matrices ⋮ A new test for the proportionality of two large-dimensional covariance matrices ⋮ Preliminary Multiple-Test Estimation, With Applications to k-Sample Covariance Estimation ⋮ Testing the equality of two high‐dimensional spatial sign covariance matrices
Uses Software
Cites Work
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- Diagnostics for heteroscedasticity in regression
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- Estimation of proportional covariances
- Proportionaliy of covariance matrices
- Covariance hypothesis which are linear in both the covariance and the inverse covariance
- Natural exponential families with quadratic variance functions
- Invariant normal models
- The \(2d+4\) simple quadratic natural exponential families on \(\mathbb{R}^ d\)
- Symmetry and lattice conditional independence in a multivariate normal distribution
- Analysis of Variance Models in Orthogonal Designs
- Convex Analysis
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