REML Estimation of Covariance Matrices with Restricted Parameter Spaces

Restricted parameter spaces for covariance matrices, such as ∑ = σ 2 I or ∑ = αI + βJ, are often used to simplify estimation. In addition, fixed upper and/or lower bounds may be needed to ensure that estimates satisfy a priori hypotheses. With multivariate variance components models, several covaria...

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Veröffentlicht in:	Journal of the American Statistical Association 1995-03, Vol.90 (429), p.321-329
Hauptverfasser:	Calvin, James A., Dykstra, Richard L.
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Covariance Covariance matrices Datasets EM algorithm Estimators Exact sciences and technology Isotonic regression Iterative algorithm Linear inference, regression Linear models Mathematical vectors Mathematics Matrices Maximum likelihood estimation Multivariate linear model Parameterization Parametric models Patterned matrices Probability and statistics Regression analysis Restricted maximum likelihood estimation Sciences and techniques of general use Statistical variance Statistics Theory and Methods Variance components
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