Simultaneous modelling of the Cholesky decomposition of several covariance matrices

DOI10.1016/j.jmva.2005.11.002zbMath1107.62043OpenAlexW2080610970MaRDI QIDQ873623

Michael J. Daniels, Trevor Park, Mohsen Pourahmadi

Publication date: 29 March 2007

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2005.11.002

zbMATH Keywords

maximum likelihood estimationlongitudinal dataspectral decompositionmissing datacommon principal componentsvariance--correlation decomposition

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Applications of statistics to biology and medical sciences; meta analysis (62P10) Hypothesis testing in multivariate analysis (62H15)

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