메뉴 건너뛰기




Volumn 22, Issue 2, 2012, Pages 729-753

A covariance regression model

Author keywords

Heteroscedasticity; Positive definite cone; Random effects

Indexed keywords


EID: 84858393899     PISSN: 10170405     EISSN: None     Source Type: Journal    
DOI: 10.5705/ss.2010.051     Document Type: Article
Times cited : (93)

References (22)
  • 1
    • 0000133998 scopus 로고
    • An analysis of transformations. (With discussion)
    • Box, G. E. P. and Cox, D. R. (1964). An analysis of transformations. (With discussion). J. Roy. Statist. Soc. Ser. B 26, 211-252.
    • (1964) J. Roy. Statist. Soc. Ser. B , vol.26 , pp. 211-252
    • Box, G.E.P.1    Cox, D.R.2
  • 2
    • 0000782631 scopus 로고
    • Adapting for heteroscedasticity in linear models
    • Carroll, R. J. (1982). Adapting for heteroscedasticity in linear models. Ann. Statist. 10, 1224-1233.
    • (1982) Ann. Statist. , vol.10 , pp. 1224-1233
    • Carroll, R.J.1
  • 3
    • 84930863080 scopus 로고
    • Some aspects of estimation in heteroscedastic linear models
    • West Lafayette, Ind.,. New York: Academic Press
    • Carroll, R. J., Ruppert, D. and Holt, Jr. R. N. (1982). Some aspects of estimation in heteroscedastic linear models. In Statistical decision theory and related topics, III, 1 (West Lafayette, Ind., 1981), 231-241. New York: Academic Press.
    • (1981) Statistical Decision Theory and Related Topics, III , vol.1 , pp. 231-241
    • Carroll, R.J.1    Ruppert, D.2    Holt Jr., R.N.3
  • 5
    • 84974122247 scopus 로고
    • Multivariate simultaneous generalized arch
    • Engle, R. F. and Kroner, K. F. (1995). Multivariate simultaneous generalized arch. Econometric Theory 11, 122-150.
    • (1995) Econometric Theory , vol.11 , pp. 122-150
    • Engle, R.F.1    Kroner, K.F.2
  • 6
    • 0000643180 scopus 로고
    • Common principal components in k groups
    • Flury, B. N. (1984). Common principal components in k groups. J. Amer. Statist. Assoc. 79, 892-898.
    • (1984) J. Amer. Statist. Assoc. , vol.79 , pp. 892-898
    • Flury, B.N.1
  • 7
    • 33750739221 scopus 로고    scopus 로고
    • A simple multivariate ARCH model specified by random coefficients
    • DOI 10.1016/j.csda.2005.11.019, PII S0167947305003129
    • Fong, P. W., Li, W. K. and An, H.-Z. (2006). A simple multivariate ARCH model specified by random coefficients. Comput. Statist. Data Anal. 51, 1779-1802. (Pubitemid 44709199)
    • (2006) Computational Statistics and Data Analysis , vol.51 , Issue.3 , pp. 1779-1802
    • Fong, P.W.1    Li, W.K.2    An, H.-Z.3
  • 9
    • 84984281904 scopus 로고
    • Vec and vech operators for matrices, with some uses in Jacobians and multivariate statistics
    • Henderson, H. V. and Searle, S. R. (1979). Vec and vech operators for matrices, with some uses in Jacobians and multivariate statistics. Canad. J. Statist. 7, 65-81.
    • (1979) Canad. J. Statist. , vol.7 , pp. 65-81
    • Henderson, H.V.1    Searle, S.R.2
  • 10
    • 27944462549 scopus 로고
    • A reference Bayesian test for nested hypotheses and its relationship to the Schwarz criterion
    • Kass, R. E. and Wasserman, L. (1995). A reference Bayesian test for nested hypotheses and its relationship to the Schwarz criterion. J. Amer. Statist. Assoc. 90, 928-934.
    • (1995) J. Amer. Statist. Assoc. , vol.90 , pp. 928-934
    • Kass, R.E.1    Wasserman, L.2
  • 11
    • 0000489758 scopus 로고
    • The commutation matrix: Some properties and applications
    • Magnus, J. R. and Neudecker, H. (1979). The commutation matrix: some properties and applications. Ann. Statist. 7, 381-394.
    • (1979) Ann. Statist. , vol.7 , pp. 381-394
    • Magnus, J.R.1    Neudecker, H.2
  • 12
    • 0003607151 scopus 로고
    • London: Academic Press [Harcourt Brace Jovanovich Publishers]. Probability and Mathematical Statistics: A Series of Monographs and Textbooks
    • Mardia, K. V., Kent, J. T. and Bibby, J. M. (1979). Multivariate Analysis. London: Academic Press [Harcourt Brace Jovanovich Publishers]. Probability and Mathematical Statistics: A Series of Monographs and Textbooks.
    • (1979) Multivariate Analysis
    • Mardia, K.V.1    Kent, J.T.2    Bibby, J.M.3
  • 13
    • 0006032109 scopus 로고
    • Symmetric matrix derivatives with applications
    • McCulloch, C. E. (1982). Symmetric matrix derivatives with applications. J. Amer. Statist. Assoc. 77, 679-682.
    • (1982) J. Amer. Statist. Assoc. , vol.77 , pp. 679-682
    • McCulloch, C.E.1
  • 14
    • 0000821745 scopus 로고
    • Estimation of heteroscedasticity in regression analysis
    • Müller, H.-G. and Stadtmüller, U. (1987). Estimation of heteroscedasticity in regression analysis. Ann. Statist. 15, 610-625.
    • (1987) Ann. Statist. , vol.15 , pp. 610-625
    • Müller, H.-G.1    Stadtmüller, U.2
  • 15
    • 0012806293 scopus 로고    scopus 로고
    • Joint mean-covariance models with applications to longitudinal data: Unconstrained parameterisation
    • Pourahmadi, M. (1999). Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation. Biometrika 86, 677-690. (Pubitemid 129766067)
    • (1999) Biometrika , vol.86 , Issue.3 , pp. 677-690
    • Pourahmadi, M.1
  • 16
    • 33751018855 scopus 로고    scopus 로고
    • Simultaneous modelling of the Cholesky decomposition of several covariance matrices
    • DOI 10.1016/j.jmva.2005.11.002, PII S0047259X05001971
    • Pourahmadi, M., Daniels, M. J. and Park, T. (2007). Simultaneous modelling of the Cholesky decomposition of several covariance matrices. J. Multivariate Anal. 98, 568-587. (Pubitemid 44742845)
    • (2007) Journal of Multivariate Analysis , vol.98 , Issue.3 , pp. 568-587
    • Pourahmadi, M.1    Daniels, M.J.2    Park, T.3
  • 18
    • 84947416625 scopus 로고
    • Estimation in a heteroscedastic regression model
    • Rutemiller, H. C. and Bowers, D. A. (1968). Estimation in a heteroscedastic regression model. J. Amer. Statist. Assoc. 63, 552-557.
    • (1968) J. Amer. Statist. Assoc. , vol.63 , pp. 552-557
    • Rutemiller, H.C.1    Bowers, D.A.2
  • 19
    • 0035740846 scopus 로고    scopus 로고
    • Covariance models for latent structure in longitudinal data
    • Scott, M. and Handcock, M. (2001). Covariance models for latent structure in longitudinal data. Sociological Methodology 31, 265-303. (Pubitemid 33584801)
    • (2001) Sociological Methodology , vol.31 , Issue.1 , pp. 265-303
    • Scott, M.A.1    Handcock, M.S.2
  • 20
    • 0001833787 scopus 로고
    • Generalized linear models with varying dispersion
    • Smyth, G. K. (1989). Generalized linear models with varying dispersion. J. Roy. Statist. Soc. Ser. B 51, 47-60.
    • (1989) J. Roy. Statist. Soc. Ser. B , vol.51 , pp. 47-60
    • Smyth, G.K.1
  • 21
    • 77949377230 scopus 로고    scopus 로고
    • Nonparametric covariance model
    • Yin, J., Geng, Z., Li, R. and Wang, H. (2010). Nonparametric covariance model. Statist. Sinica 20, 469-479.
    • (2010) Statist. Sinica , vol.20 , pp. 469-479
    • Yin, J.1    Geng, Z.2    Li, R.3    Wang, H.4


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.