On the inverse of covariance matrices for unbalanced crossed designs
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arXiv
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| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866918346855809024 |
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| author | Lyu, Ziyang Sisson, S. A. Welsh, A. H. |
| author_facet | Lyu, Ziyang Sisson, S. A. Welsh, A. H. |
| contents | This paper addresses a long-standing open problem in the analysis of linear mixed models with crossed random effects under unbalanced designs: how to find an analytic expression for the inverse of $\mathbf{V}$, the covariance matrix of the observed response. The inverse matrix $\mathbf{V}^{-1}$ is required for likelihood-based estimation and inference. However, for unbalanced crossed designs, $\mathbf{V}$ is dense and the lack of a closed-form representation for $\mathbf{V}^{-1}$, until now, has made using likelihood-based methods computationally challenging and difficult to analyse mathematically. We use the Khatri--Rao product to represent $\mathbf{V}$ and then to construct a modified covariance matrix whose inverse admits an exact spectral decomposition. Building on this construction, we obtain an elegant and simple approximation to $\mathbf{V}^{-1}$ for asymptotic unbalanced designs. For non-asymptotic settings, we derive an accurate and interpretable approximation under mildly unbalanced data and establish an exact inverse representation as a low-rank correction to this approximation, applicable to arbitrary degrees of unbalance. Simulation studies demonstrate the accuracy, stability, and computational tractability of the proposed framework. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_09273 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | On the inverse of covariance matrices for unbalanced crossed designs Lyu, Ziyang Sisson, S. A. Welsh, A. H. Methodology Statistics Theory This paper addresses a long-standing open problem in the analysis of linear mixed models with crossed random effects under unbalanced designs: how to find an analytic expression for the inverse of $\mathbf{V}$, the covariance matrix of the observed response. The inverse matrix $\mathbf{V}^{-1}$ is required for likelihood-based estimation and inference. However, for unbalanced crossed designs, $\mathbf{V}$ is dense and the lack of a closed-form representation for $\mathbf{V}^{-1}$, until now, has made using likelihood-based methods computationally challenging and difficult to analyse mathematically. We use the Khatri--Rao product to represent $\mathbf{V}$ and then to construct a modified covariance matrix whose inverse admits an exact spectral decomposition. Building on this construction, we obtain an elegant and simple approximation to $\mathbf{V}^{-1}$ for asymptotic unbalanced designs. For non-asymptotic settings, we derive an accurate and interpretable approximation under mildly unbalanced data and establish an exact inverse representation as a low-rank correction to this approximation, applicable to arbitrary degrees of unbalance. Simulation studies demonstrate the accuracy, stability, and computational tractability of the proposed framework. |
| title | On the inverse of covariance matrices for unbalanced crossed designs |
| topic | Methodology Statistics Theory |
| url | https://arxiv.org/abs/2512.09273 |