Maximum likelihood estimation for singular Wishart distributions

DOI10.1016/J.SPL.2025.110579MaRDI QIDQ6880837zbMATH OpenFDO

Authors Manabu Asai

Publication date 18 December 2025

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2025.110579

zbMATH Keywords

Bartlett decompositionlog-expectationmaximum-likelihood estimationsingular Wishart distribution

Mathematics Subject Classification ID

Characterization and structure theory of statistical distributions (62E10) Point estimation (62F10)

Cites work

• Asymptotic theory for multivariate GARCH processes.
• Estimation in discrete parameter models
• Estimation of the precision matrix of a singular Wishart distribution and its application in high-dimensional data
• scientific article; zbMATH DE number 3323641 (Why is no real title available?)
• scientific article; zbMATH DE number 3357752 (Why is no real title available?)
• On singular Wishart and singular multivariate beta distributions
• Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices
• Singular Wishart and multivariate beta distributions

This page was built for publication: Maximum likelihood estimation for singular Wishart distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6880837)