Estimation of proportional covariances in the presence of certain linear restrictions

• 成果类型: Article
• 署名作者: Jensen, ST; Madsen, J
• 署名单位: University of Copenhagen; Statens Serum Institut
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• 发表日期: 2004
• 页码: 219-232
• 关键词: natural exponential-families; matrices; models

摘要

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.