Existence and uniqueness of the Kronecker covariance MLE

DOI10.1214/21-AOS2052zbMath1480.62096arXiv2003.06024OpenAlexW3213304819MaRDI QIDQ2054526

Mathias Drton, Satoshi Kuriki, Peter D. Hoff

Publication date: 3 December 2021

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.06024

zbMATH Keywords

maximum likelihood estimationGaussian distributionKronecker canonical formseparable covariancematrix normal model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Algebraic statistics (62R01)

Related Items

Fast and Separable Estimation in High-Dimensional Tensor Gaussian Graphical Models, Maximum likelihood estimation for tensor normal models via castling transforms

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