Title

A Note On Maximum Likelihood Estimation For Covariance Reducing Models

Keywords

Eigenanalysis; Wishart distribution

Abstract

Cook and Forzani (2008) proposed covariance reducing models as a method for modeling the differences among k covariance matrices. The model was developed via a property of a conditional distribution for the sample covariance matrices and this conditional distribution was used to obtain maximum likelihood estimators. In this work, we show that the same maximum likelihood estimators can be obtained using the unconditional distribution of the sample covariance matrices along with a condition on the population covariance matrices that holds if and only if the covariance reducing model holds. In addition, it is shown that when k= 2, specialized numerical methods are not needed to compute the maximum likelihood estimators. © 2012 Elsevier B.V.

Publication Date

9-1-2012

Publication Title

Statistics and Probability Letters

Volume

82

Issue

9

Number of Pages

1629-1631

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1016/j.spl.2012.05.006

Socpus ID

84861730649 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/84861730649

This document is currently not available here.

Share

COinS