Multi-level multivariate normal distribution with self-similar compound symmetry covariance matrix

Ricardo Leiva and Anuradha Roy ()
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Anuradha Roy: UTSA

Working Papers from College of Business, University of Texas at San Antonio

Abstract: We study multi-level multivariate normal distribution with self similar compound symmetry co-variance structure for k di erent levels of the multivariate data. Both maximum likelihood and unbiased estimates of the matrix parameters are obtained. The spectral decomposition of the new covariance structure are discussed and are demonstrated with a real dataset from medical studies.

Keywords: Eigenblock; eigenmatrix; k??level data; self-similar compound symmetry covariance structure (search for similar items in EconPapers)
JEL-codes: H12 H25 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2016
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Published in Review of Economics, March 1999, pages 1-23

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Persistent link: https://EconPapers.repec.org/RePEc:tsa:wpaper:0146mss

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