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Results tagged with covariance-matrix
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user 95436
A $k\times k$ matrix of covariances between all pairs of $k$ random variables. It is also called variance-covariance matrix or simply the covariance matrix.
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Finding the MLE for covariance matrix in random effects model
I have a random effects-only linear model as follows:
$$\mathbf{y_i = Z_ib_i + \epsilon_i,\quad i=1,...,N}$$
$$\mathbf{\epsilon_i \sim N(0,\sigma^2I)},\quad \mathbf{b_i \sim N(0,\sigma^2D)}$$
where …
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