Properties of an MLE algorithm for the multivariate linear model with a separable covariance matrix structure-Reference-Cited by-同舟云学术

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

Published:2021-06-01 Issue:1 Volume:58 Page:69-79
ISSN:2199-577X
Container-title:Biometrical Letters
language:en
Short-container-title:

Author:

Szczepańska-Álvarez Anna¹,Zawieja Bogna¹,Álvarez Adolfo²

Affiliation:

1. Department of Mathematical and Statistical Methods , Poznań University of Life Sciences , Wojska Polskiego 28, PL-60-637 Poznań , Poland

2. Collegium Da Vinci, Department of Informatics and Visual Communication , ul. Kutrzeby 10, 61-719 Poznań , Poland

Abstract

Summary 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.

Publisher

Walter de Gruyter GmbH

Link

https://www.sciendo.com/pdf/10.2478/bile-2021-0005

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