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Estimation methods for a linearly structured covariance matrix
Adam Mieldzioc (Poznań University of Life Sciences)
Biometrical Letters
DOI: 10.2478/bile-2023-0016 (Mathematics)
Licence : CC BY-NC-ND
Résumé : Summary Covariance matrices with a linear structure are widely used in multivariate analysis. The choice of the most appropriate covariance structure can be made from a class of possible linear structures. Once we have made the choice, an important question is how we can estimate the covariance matrix for a given covariance structure. This article describes methods used to estimate the structured covariance matrix, and indicates the advantages and disadvantages of the selected methods.
Publié le 01 Déc. 2023