Estimation of a covariance matrix with zeros
نویسندگان
چکیده
منابع مشابه
A ug 2 00 5 Estimation of a Covariance Matrix with Zeros ∗
We consider estimation of the covariance matrix of a multivariate random vector under the constraint that certain covariances are zero. We first present an algorithm, which we call Iterative Conditional Fitting, for computing the maximum likelihood estimator of the constrained covariance matrix, under the assumption of multivariate normality. In contrast to previous approaches, this algorithm h...
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ژورنال
عنوان ژورنال: Biometrika
سال: 2007
ISSN: 0006-3444,1464-3510
DOI: 10.1093/biomet/asm007