作者:Antoniano-Villalobos, Isadora
作者单位:Universita Ca Foscari Venezia
作者:Huk, David; Pacchiardi, Lorenzo; Dutta, Ritabrata; Steel, Mark
作者单位:University of Warwick; University of Oxford
作者:Hoff, Peter; McCormack, Andrew; Zhang, Anru R.
作者单位:Duke University; Duke University
摘要:A separable covariance model can describe the among-row and among-column correlations of a random matrix and permits likelihood-based inference with a very small sample size. However, if the assumption of separability is not met, data analysis with a separable model may misrepresent important dependence patterns in the data. As a compromise between separable and unstructured covariance estimation, we decompose a covariance matrix into a separable component and a complementary 'core' covariance...