Maximum likelihood estimation of the dynamic coregionalization model with heterotopic data

In this paper, the maximum likelihood estimation of the heterotopic spatio-temporal model with spatial LCM components and temporal dynamics is developed. In particular, the computation of the estimates is based on the EM algorithm and two solutions are proposed: one is based on the more cumbersome exact maximization of the a posteriori expected log likelihood and the other is an approximate closed-form solution, whose properties are assessed in terms of bias and efficiency through an extensive Monte Carlo simulation.