A. Szczepańska-Álvarez, B. Zawieja, Adolfo Álvarez
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Abstract
Summary In this paper we present properties of an algorithm to determine the maximum likelihood estimators of the covariance matrix when two processes jointly affect the observations. Additionally, one process is partially modeled by a compound symmetry structure. We perform a simulation study of the properties of an iteratively determined estimator of the covariance matrix.
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