Best quadratic and positive semidefinite unbiased estimation of the variance matrix of the multivariate normal distribution

Heinz Neudecker, Shuangzhe Liu

Research output: Contribution to journalArticlepeer-review

Abstract

A BQPUE (best quadratic and positive semidefinite unbiased estimator) of the matrix V for the distribution vec X′∽Nnp(vec M′, U⊗V) is being given. It is unique, although still depending on U and M. When U = I and M = (μ,…,μ), we get a well-known (unique) result not depending on M.
Original languageEnglish
Pages (from-to)2723-2732
Number of pages10
JournalCommunications in Statistics - Theory and Methods
Volume22
Issue number10
DOIs
Publication statusPublished - 1993

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