Maximum likelihood estimation of the linearly structured correlation matrix by aJacobi-type iterative scheme

DOI10.1080/00949655.2011.641967zbMath1431.62235OpenAlexW1973326354MaRDI QIDQ2862389

Sadhan Samar Maiti, Saran Ishika Maiti

Publication date: 15 November 2013

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2011.641967

zbMATH Keywords

Toeplitz matrixJacobian matrixvec operatorconvergence of an iterative schemelinearly structured correlation matrixmatrix and vector normsmaximum likelihood estimate of a vector parameter

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12) Point estimation (62F10)

Uses Software

• LISREL
• clusterGeneration

Cites Work

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• Testing pattern hypotheses for covariance matrices
• Asymptotically efficient estimation of covariance matrices with linear structure
• Some contributions to maximum likelihood factor analysis
• Newton-Raphson and Related Algorithms for Maximum Likelihood Variance Component Estimation
• Explicit maximum likelihood estimators for certain patterned covariance matrices
• The analysis of patterned correlation matrices by generalized least squares
• TECHNIQUES OF COVARIANCE STRUCTURAL ANALYSIS1
• Iterative maximum‐likelihood estimation of parameters of the Toeplitz correlation structure

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