We consider a Kronecker product structure for large covariance matrices, which has the feature that the number of free parameters increases logarithmically with the dimensions of the matrix. We propose an estimation method of the free parameters based on the log linear property of this...

We propose a Kronecker product structure for large covariance or correlation matrices. One feature of this model is that it scales logarithmically with dimension in the sense that the number of free parameters increases logarithmically with the dimension of the matrix. We propose an estimation...

We propose a Kronecker product model for correlation or covariance matrices in thelarge dimensional case. The number of parameters of the model increases logarithmicallywith the dimension of the matrix. We propose a minimum distance (MD) estimator basedon a log-linear property of the model, as...