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Structure identification for a linearly structured covariance matrix: part II
Adam Mieldzioc (Poznań University of Life Sciences)
Biometrical Letters
DOI: 10.2478/bile-2023-0014 (Mathematics)
License: CC BY-NC-ND
Abstract: Summary Covariance matrices with a linear structure are widely used in multivariate analysis. The choice of covariance structure can be made from a set of possible linear structures. As a result, the most appropriate structure is determined by minimizing the discrepancy function. This paper is a continuation of previous work on identifying linear structures with an entropy loss function as a discrepancy function. We present extensive simulation studies on the correctness of identification with the assumed pentagonal banded Toeplitz structure.
Published on 01 Dec. 2023