Back to Search Start Over

Properties of an MLE algorithm for the multivariate linear model with a separable covariance matrix structure.

Authors :
Szczepańska-Álvarez, Anna
Zawieja, Bogna
Álvarez, Adolfo
Source :
Biometrical Letters. Jun2021, Vol. 58 Issue 1, p69-79. 11p.
Publication Year :
2021

Abstract

In this paper we present properties of an algorithm to determine the maximum likelihood estimators of the covariance matrix when two processes jointly affect the observations. Additionally, one process is partially modeled by a compound symmetry structure. We perform a simulation study of the properties of an iteratively determined estimator of the covariance matrix. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
18963811
Volume :
58
Issue :
1
Database :
Academic Search Index
Journal :
Biometrical Letters
Publication Type :
Academic Journal
Accession number :
151079293
Full Text :
https://doi.org/10.2478/bile-2021-0005