Block matrix approximation via entropy loss function

Malwina Janiszewska; Augustyn Markiewicz; Monika Mokrzycka

Applications of Mathematics (2020)

  • Volume: 65, Issue: 6, page 829-844
  • ISSN: 0862-7940

Abstract

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The aim of the paper is to present a procedure for the approximation of a symmetric positive definite matrix by symmetric block partitioned matrices with structured off-diagonal blocks. The entropy loss function is chosen as approximation criterion. This procedure is applied in a simulation study of the statistical problem of covariance structure identification.

How to cite

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Janiszewska, Malwina, Markiewicz, Augustyn, and Mokrzycka, Monika. "Block matrix approximation via entropy loss function." Applications of Mathematics 65.6 (2020): 829-844. <http://eudml.org/doc/297382>.

@article{Janiszewska2020,
abstract = {The aim of the paper is to present a procedure for the approximation of a symmetric positive definite matrix by symmetric block partitioned matrices with structured off-diagonal blocks. The entropy loss function is chosen as approximation criterion. This procedure is applied in a simulation study of the statistical problem of covariance structure identification.},
author = {Janiszewska, Malwina, Markiewicz, Augustyn, Mokrzycka, Monika},
journal = {Applications of Mathematics},
keywords = {approximation; block covariance structure; entropy loss function},
language = {eng},
number = {6},
pages = {829-844},
publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},
title = {Block matrix approximation via entropy loss function},
url = {http://eudml.org/doc/297382},
volume = {65},
year = {2020},
}

TY - JOUR
AU - Janiszewska, Malwina
AU - Markiewicz, Augustyn
AU - Mokrzycka, Monika
TI - Block matrix approximation via entropy loss function
JO - Applications of Mathematics
PY - 2020
PB - Institute of Mathematics, Academy of Sciences of the Czech Republic
VL - 65
IS - 6
SP - 829
EP - 844
AB - The aim of the paper is to present a procedure for the approximation of a symmetric positive definite matrix by symmetric block partitioned matrices with structured off-diagonal blocks. The entropy loss function is chosen as approximation criterion. This procedure is applied in a simulation study of the statistical problem of covariance structure identification.
LA - eng
KW - approximation; block covariance structure; entropy loss function
UR - http://eudml.org/doc/297382
ER -

References

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