关于模式化协方差矩阵的逆

On the Inverse of a Patterned Covariance Matrix

Journal of the American Statistical Association · 1984
被引 5
ABS 4

中文导读

讨论了模式化协方差矩阵的求逆问题,指出了一种相关矩阵的一般形式,并应用撕裂法进行求逆,对某些相关结构可大幅简化计算。

Abstract

Abstract The inversion of a patterned covariance matrix is discussed. A general form of the correlation matrix is noted, and inversion by the method of tearing is applied. For certain correlation structures, the calculations are considerably simplified.

计量经济学统计学应用数学协方差矩阵