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

DOI10.1016/0304-4076(85)90123-XMaRDI QIDQ1062385zbMATH OpenFDO

Authors B. George

Publication date 1985

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

Full work available at URL https://doi.org/10.1016/0304-4076(85)90123-X

zbMATH Keywords

linear function of a random matrixmaximum likelihood estimatormultivariate linear regressionvariance-covariance matrixzero constraints

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Review text

A useful result concerning variances and covariances of a linear function of a random matrix is applied to find the variance-covariance matrix of the maximum likelihood estimator in multivariate linear regression subject to zero constraints.

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Cites work

• Matricvariate Generalizations of the Multivariate t Distribution and the Inverted Multivariate t Distribution
• Some aspects of bivariate regression subject to linear constraints
• Some Finite Sample Results in the Context of Two Seemingly Unrelated Regression Equations

Cited in

(8)

• A note on constrained M-estimation and its recursive analog in multivariate linear regression models
• A note on Silvey's (1959) theorem
• Kernel density estimation for partial linear multivariate responses models
• Statistical inference for multivariate partially linear regression models
• A Truncated Maximum Likelihood Estimator of a Constrained Bivariate Linear Regression Coefficient
• scientific article; zbMATH DE number 3974107 (Why is no real title available?)
• Simultaneous multiple response regression and inverse covariance matrix estimation via penalized Gaussian maximum likelihood
• A note on maximum likelihood estimation for covariance reducing models

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