Covariance estimation via sparse Kronecker structures
نویسندگان
چکیده
منابع مشابه
Covariance Estimation via Sparse Kronecker Structures
The problem of estimating covariance matrices is central to statistical analysis and is extensively addressed when data are vectors. This paper studies a novel Kronecker-structured approach for estimating such matrices when data are matrices and arrays. Focusing on matrix-variate data, we present simple approaches to estimate the row and the column correlation matrices, formulated separately vi...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2018
ISSN: 1350-7265
DOI: 10.3150/17-bej980