By Mathias Drton and others

In matrix-valued datasets the sampled matrices often exhibit correlations among both their rows and their columns. A useful and parsimonious model of such dependence is the matrix normal model, in which the covariances among the elements of a random matrix are parameterized in terms of the Kronecker product of two... Show more

January 14, 2021

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Existence and Uniqueness of the Kronecker Covariance MLE

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