IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v82y2012i9p1629-1631.html
   My bibliography  Save this article

A note on maximum likelihood estimation for covariance reducing models

Author

Listed:
  • Schott, James R.

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.

Suggested Citation

  • Schott, James R., 2012. "A note on maximum likelihood estimation for covariance reducing models," Statistics & Probability Letters, Elsevier, vol. 82(9), pages 1629-1631.
  • Handle: RePEc:eee:stapro:v:82:y:2012:i:9:p:1629-1631
    DOI: 10.1016/j.spl.2012.05.006
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S016771521200171X
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. R. Dennis Cook & Liliana Forzani, 2008. "Covariance reducing models: An alternative to spectral modelling of covariance matrices," Biometrika, Biometrika Trust, vol. 95(4), pages 799-812.
    2. Cook, R. Dennis & Forzani, Liliana M. & Tomassi, Diego R., 2011. "LDR: A Package for Likelihood-Based Sufficient Dimension Reduction," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 39(i03).
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Eigenanalysis; Wishart distribution;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:82:y:2012:i:9:p:1629-1631. 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). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.