IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v12y1991i6p511-515.html
   My bibliography  Save this article

A numerical procedure for finding the positive definite matrix closest to a patterned matrix

Author

Listed:
  • Hu, H.
  • Olkin, I.

Abstract

Patterned covariance matrices arise naturally from models in the physical, biological, psychological and social sciences. When the underlying data arises from a multivariate normal distribution, maximum likelihood estimates of the population covariance matrix can be obtained numerically, via an iterative procedure, or in some special cases, as closed form expressions. Without the assumption of normality we address the problem of obtaining an estimator that has the appropriate pattern and is close to the sample covariance matrix.

Suggested Citation

  • Hu, H. & Olkin, I., 1991. "A numerical procedure for finding the positive definite matrix closest to a patterned matrix," Statistics & Probability Letters, Elsevier, vol. 12(6), pages 511-515, December.
    • Handle: RePEc:eee:stapro:v:12:y:1991:i:6:p:511-515
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0167-7152(91)90006-D
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:12:y:1991:i:6:p:511-515. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.