On estimation of a partitioned covariance matrix with linearly structured blocks

The aim of this paper is to introduce an estimation method for a linearly structured partitioned covariance matrix. In contrast to well known linear structures of partitioned matrices, for example block compound symmetry, we allow the diagonal blocks of the covariance matrix to be of different dimensions. We adapt the shrinkage method to improve the properties of the projection of the sample covariance matrix onto the linear structure space. As spaces of target matrices, we choose various quadratic subspaces of structure space. This is a novel approach in the context of the structure space under consideration, and as a result a positive definite and well-conditioned estimator having the desired structure is determined. It is also shown that the statistical and algebraic properties of the estimator depend on the choice of target space.

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Publication Details

Journal
Statistical Papers
Published
2025-05-14
DOI
https://doi.org/10.1007/s00362-025-01718-6
Citations
1
Primary Topic
Advanced Scientific Research Methods
Type
article
Field-Weighted Citation Impact
1.16
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article

On estimation of a partitioned covariance matrix with linearly structured blocks

Augustyn Markiewicz, Malwina Mrowińska, Adam Mieldzioc, Katarzyna Filipiak
1 citations
Statistical Papers
Advanced Scientific Research Methods
1.16
article

On estimation of a partitioned covariance matrix with linearly structured blocks

Augustyn Markiewicz, Malwina Mrowińska, Adam Mieldzioc, Katarzyna Filipiak
article en
1 citations

Abstract

The aim of this paper is to introduce an estimation method for a linearly structured partitioned covariance matrix. In contrast to well known linear structures of partitioned matrices, for example block compound symmetry, we allow the diagonal blocks of the covariance matrix to be of different dimensions. We adapt the shrinkage method to improve the properties of the projection of the sample covariance matrix onto the linear structure space. As spaces of target matrices, we choose various quadratic subspaces of structure space. This is a novel approach in the context of the structure space under consideration, and as a result a positive definite and well-conditioned estimator having the desired structure is determined. It is also shown that the statistical and algebraic properties of the estimator depend on the choice of target space.

Statistical PapersVol. 66(4)
Institute of Mathematics (PL), Poznań University of Technology (PL), University of Life Sciences in Poznań (PL)
Openalex Percentile: Top 22%
Advanced Scientific Research Methods
1.16
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