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 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...

When a continuous time model is sampled only at equally spaced intervals, a priori restrictions on the parameters can provide natural identifying restrictions which serve to rule out otherwise observationally equivalent parameter values. Specifically, we consider identification of the parameter...