Accession Number:

ADA073796

Title:

Maximum Likelihood Estimation of the Parameters of a Multivariate Normal Distribution

Descriptive Note:

Technical rept.

Corporate Author:

STANFORD UNIV CA DEPT OF STATISTICS

Personal Author(s):

Report Date:

1979-07-01

Pagination or Media Count:

22.0

Abstract:

This paper provides an exposition of several altnerative techniques used to obtain maximum likelihood estimators for the parameters of a multivariate normal distribution. In particular, matrix differentiation, matrix transformations and induction are treated. These techniques are used to derive the maximum likelihood estimators of the covariances of a Wishart distribution, of the covariances when there are missing observations, and of the means under a rank constraint. Although the paper is mainly expository, some of the proofs are new.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE