Properties of an MLE algorithm for the multivariate linear model with a separable covariance matrix structure
, oraz | 24 cze 2021
O artykule
Data publikacji: 24 cze 2021
Zakres stron: 69 - 79
DOI: https://doi.org/10.2478/bile-2021-0005
Słowa kluczowe
© 2021 Anna Szczepańska-Álvarez et al., published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
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.