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

DOI10.1016/S0024-3795(98)10214-8MaRDI QIDQ1300880zbMATH OpenWikidataFDO

Authors Erhard Cramer

Publication date 2 April 2000

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

Full work available at URL https://doi.org/10.1016/S0024-3795(98)10214-8

zbMATH Keywords

covariance matrixI-projectionKullback-Leibler distancemarginal independencemaximum likelihood estimationminimum distance estimation

Mathematics Subject Classification ID

Functions of several variables (26B99) Estimation in multivariate analysis (62H12)

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Cites work

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

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(6)

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• When are two wave functions distinguishable: a new answer to Pauli's question, with potential application to quantum cosmology
• Arithmetic modeling of random processes and \(r\)-algorithms
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• Asymptotic Dykstra-Parsons distribution, estimates and confidence intervals
• Ensembles of relational classifiers

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