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Parameter expansion for estimation of reduced rank covariance matrices (Open Access publication)
Parameter expanded and standard expectation maximisation algorithms are described for reduced rank estimation of covariance matrices by restricted maximum likelihood, fitting the leading principal components only. Convergence behaviour of these algorithms is examined for several examples and contras...
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| Formato: | Texto |
| Lenguaje: | English |
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BioMed Central
2008
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC2674917/ https://www.ncbi.nlm.nih.gov/pubmed/18096112 http://dx.doi.org/10.1186/1297-9686-40-1-3 |