Estimation of the mean and the covariance matrix under a marginal independence assumption -- an application of matrix differential calculus

DOI10.1016/S0024-3795(98)10214-8zbMath0933.62047WikidataQ59180315 ScholiaQ59180315MaRDI QIDQ1300880

Erhard Cramer

Publication date: 2 April 2000

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

zbMATH Keywords

maximum likelihood estimation; minimum distance estimation; covariance matrix; Kullback-Leibler distance; I-projection; marginal independence

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

26B99: Functions of several variables

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Cites Work

• Empirical Bayes estimation of the multivariate normal covariance matrix
• Conditional iterative proportional fitting for Gaussian distributions
• Linear and graphical models for the multivariate complex normal distribution
• On the Independence of k Sets of Normally Distributed Statistical Variables
• On Information and Sufficiency
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