A note on the covariance matrix of the maximum likelihood estimator in constrained multivariate linear regression

DOI10.1016/0304-4076(85)90123-XzbMath0572.62044MaRDI QIDQ1062385

B. George

Publication date: 1985

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

maximum likelihood estimator; variance-covariance matrix; multivariate linear regression; linear function of a random matrix; zero constraints

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62H12: Estimation in multivariate analysis

62J05: Linear regression; mixed models