ESTIMATION OF PARAMETERS FOR NORMALLY DISTRIBUTED RANDOM MATRICES

Authors
WANG DQ LAWOKO CRO
Citation
Dq. Wang et Cro. Lawoko, ESTIMATION OF PARAMETERS FOR NORMALLY DISTRIBUTED RANDOM MATRICES, Linear algebra and its applications, 210, 1994, pp. 199-208
Citations number
7
Categorie Soggetti
Mathematics,Mathematics
Journal title
Linear algebra and its applications → ACNP
ISSN journal
00243795
Volume
210
Year of publication
1994
Pages
199 - 208
Database
ISI
SICI code
0024-3795(1994)210:<199:EOPFND>2.0.ZU;2-N
Abstract
Consider the p x n random matrix X which is normally distributed with mean M, and let the covariance matrix between any two columns of X (sa y x(i) and x(j)) be gamma(ij)(Sigma + Sigma(epsilon)). Expectations an d covariances of the maximum likelihood estimators of M and Sigma are given for the situation when gamma(ij) and Sigma(epsilon) are known.