Maximum likelihood estimation of Wishart mean matrices under Löwner order restrictions
For Wishart density functions, there remains a long-time question unsolved. That is whether there exists the closed-form MLEs of mean matrices over the partially Löwner ordering sets. In this note, we provide an affirmative answer by demonstrating a unified procedure on exactly how the closed-form MLEs are obtained for the simple ordering case. Under the Kullback-Leibler loss function, a property of obtained MLEs is further studied. Some applications of the obtained closed-form MLEs, including the comparison between our ML estimates and Calvin and Dykstra's [Maximum likelihood estimation of a set of covariance matrices under Löwner order restrictions with applications to balanced multivariate variance components models, Ann. Statist. 19 (1991) 850-869.] which obtained by iterative algorithm, are also made.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 98 (2007)
Issue (Month): 5 (May)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Tsai, Ming-Tien, 2004. "Maximum likelihood estimation of covariance matrices under simple tree ordering," Journal of Multivariate Analysis, Elsevier, vol. 89(2), pages 292-303, May.
- M. S. Srivastava & Tatsuya Kubokawa, 1999. "Improved Nonnegative Estimation of Multivariate Components of Variance," CIRJE F-Series CIRJE-F-38, CIRJE, Faculty of Economics, University of Tokyo.
- Loh, Wei-Liem, 1991. "Estimating covariance matrices II," Journal of Multivariate Analysis, Elsevier, vol. 36(2), pages 163-174, February.
- Haff, L. R., 1979. "An identity for the Wishart distribution with applications," Journal of Multivariate Analysis, Elsevier, vol. 9(4), pages 531-544, December.
When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:98:y:2007:i:5:p:932-944. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.