A maximum likelihood algorithm for the mean and covariance of nonidentically distributed observations

DOI10.1109/TAC.1982.1102839zbMath0469.93082OpenAlexW1984473103MaRDI QIDQ3924084

Fangkuo Sun

Publication date: 1982

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1982.1102839

zbMATH Keywords

iterative proceduremeanmaximum likelihood estimatescovariancemaximum likelihood algorithmnormal random vectornonidentically distributed observations

Mathematics Subject Classification ID

Related Items (7)

Maximum likelihood mean and covariance matrix estimation constrained to general positive semi-definiteness ⋮ First-order data sensitivity measures with applications to a multivariate signal-plus-noise problem ⋮ Effect of imprecisely known nuisance parameters on estimates of primary parameters ⋮ Nonparametric EM algorithms for estimating prior distributions ⋮ An approximation for analyzing a broad class of implicitly and explicitly defined estimators ⋮ Cyclic seesaw process for optimization and identification ⋮ An implicit function based procedure for analyzing maximum likelihood estimates from nonidentically distributed data

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