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Maximum likelihood estimation for linear Gaussian covariance models

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  • Piotr Zwiernik
  • Caroline Uhler
  • Donald Richards

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  • Piotr Zwiernik & Caroline Uhler & Donald Richards, 2017. "Maximum likelihood estimation for linear Gaussian covariance models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(4), pages 1269-1292, September.
    • Handle: RePEc:bla:jorssb:v:79:y:2017:i:4:p:1269-1292
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    File URL: http://hdl.handle.net/10.1111/rssb.12217
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    References listed on IDEAS

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    1. Ledoit, Olivier & Wolf, Michael, 2004. "A well-conditioned estimator for large-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 88(2), pages 365-411, February.
    2. Mathias Drton, 2004. "Multimodality of the likelihood in the bivariate seemingly unrelated regressions model," Biometrika, Biometrika Trust, vol. 91(2), pages 383-392, June.
    3. Robert P Freckleton & Paul H Harvey, 2006. "Detecting Non-Brownian Trait Evolution in Adaptive Radiations," PLOS Biology, Public Library of Science, vol. 4(11), pages 1-8, November.
    4. Jacob Bien & Robert J. Tibshirani, 2011. "Sparse estimation of a covariance matrix," Biometrika, Biometrika Trust, vol. 98(4), pages 807-820.
    5. Rothman, Adam J. & Levina, Elizaveta & Zhu, Ji, 2009. "Generalized Thresholding of Large Covariance Matrices," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 177-186.
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    Cited by:

    1. C. Gouriéroux & A. Monfort & J.‐M. Zakoïan, 2019. "Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations," Econometrica, Econometric Society, vol. 87(1), pages 327-345, January.
    2. Martina Hančová & Andrej Gajdoš & Jozef Hanč & Gabriela Vozáriková, 2021. "Estimating variances in time series kriging using convex optimization and empirical BLUPs," Statistical Papers, Springer, vol. 62(4), pages 1899-1938, August.
    3. Anupam Kundu & Mohsen Pourahmadi, 2023. "MLE of Jointly Constrained Mean-Covariance of Multivariate Normal Distributions," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 1-32, May.

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