1
$\begingroup$

What is the procedure for estimating the population covariance matrix from many incomplete sample covariance matrices?

For example, say my data consist of 7 flavors of time series, A-G. My goal is to estimate the population covariance among all 7 flavors. However, each of my (many) observations and thus my sample covariance matrices only contain 4 flavors each, selected at random, e.g. [B C F G], [A C D F].

My intuition is that it is some variant of mixed-effect modeling with pair-wise covariance being the fixed effect and per-observation flavor grouping being the random effect.

$\endgroup$

0

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Browse other questions tagged or ask your own question.