Estimation equations for multivariate linear models with Kronecker structured covariance matrices

ABSTRACT

The aim of the paper is to determine maximum-likelihood estimation equations. Observations follow a multivariate normal distribution, , where , and describe the unknown covariance structure between rows and columns of , respectively. Imposing restrictions on and four types of covariance structures will be considered.

KEYWORDS:

• Compound symmetric structure
• Kronecker product
• matrix derivatives
• maximum-likelihood estimation

MATHEMATICS SUBJECT CLASSIFICATION:

• 62H12