1. bookVolume 58 (2021): Issue 1 (June 2021)
Journal Details
License
Format
Journal
First Published
17 Aug 2013
Publication timeframe
2 times per year
Languages
English
access type Open Access

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

Published Online: 24 Jun 2021
Page range: 69 - 79
Journal Details
License
Format
Journal
First Published
17 Aug 2013
Publication timeframe
2 times per year
Languages
English
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.

Keywords

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