More on the Kronecker Structured Covariance Matrix

Abstract

In this article, the multivariate normal distribution with a Kronecker product structured covariance matrix is studied. Particularly focused is the estimation of a Kronecker structured covariance matrix of order three, the so called double separable covariance matrix. The suggested estimation generalizes the procedure proposed by Srivastava et al. (2008) for a separable covariance matrix. The restrictions imposed by separability and double separability are also discussed.

Keywords:

• Double separable covariance
• Kronecker product structure
• Maximum likelihood estimators
• Separable covariance

2000 Mathematics Subject Classification:

• 62H12