Estimation of proportional covariances in the presene of certain linear restrictions
Authors:
- Soøren Tolver JensenSJSoøren Tolver Jensen
- Jesper MadsenJMJesper Madsen
Open Access
- 1 February 2004
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Statistics
- Vol. 32 (1) , 219-232
Abstract
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.Keywords
This publication has 15 references indexed in Scilit:
- Symmetry and lattice conditional independence in a multivariate normal distributionThe Annals of Statistics, 1998
- The $2d+4$ simple quadratic natural exponential families on ${\bf R}\sp d$The Annals of Statistics, 1996
- Covariance Hypotheses Which are Linear in Both the Covariance and the Inverse CovarianceThe Annals of Statistics, 1988
- Proportionality of Covariance MatricesThe Annals of Statistics, 1987
- Modelling Variance Heterogeneity in Normal Regression Using GLIMJournal of the Royal Statistical Society Series C: Applied Statistics, 1987
- Proportionality of k covariance matricesStatistics & Probability Letters, 1986
- Distribution of Eigenvalues in Multivariate Statistical AnalysisThe Annals of Statistics, 1983
- Diagnostics for heteroscedasticity in regressionBiometrika, 1983
- Natural Exponential Families with Quadratic Variance FunctionsThe Annals of Statistics, 1982
- Invariant Normal ModelsThe Annals of Statistics, 1975