Proportionality of covariance matrices of n independent p-dimensional normal distributions with the same type of linear restrictions of the inverse covariances is considered. Conditions for
existence and uniqueness of the maximum likelihood estimator are obtained through the development of general results for scale-invariant natural exponential families.
Publié le : 2004-02-14
Classification:
Proportional covariances,
maximum likelihood estimation,
profile likelihood function,
natural exponential families,
convexity,
Jordan algebra,
62H12,
62H15,
62H10,
60H20,
62F10,
17C50,
52A20
@article{1079120134,
author = {Jensen, So\o ren Tolver and Madsen, Jesper},
title = {Estimation of proportional covariances in the presene of certain linear restrictions},
journal = {Ann. Statist.},
volume = {32},
number = {1},
year = {2004},
pages = { 219-232},
language = {en},
url = {http://dml.mathdoc.fr/item/1079120134}
}
Jensen, Soøren Tolver; Madsen, Jesper. Estimation of proportional covariances in the presene of certain linear restrictions. Ann. Statist., Tome 32 (2004) no. 1, pp. 219-232. http://gdmltest.u-ga.fr/item/1079120134/