TY - JOUR
T1 - Best quadratic and positive semidefinite unbiased estimation of the variance matrix of the multivariate normal distribution
AU - Neudecker, Heinz
AU - Liu, Shuangzhe
PY - 1993
Y1 - 1993
N2 - 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.
AB - 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.
U2 - 10.1080/03610929308831181
DO - 10.1080/03610929308831181
M3 - Article
SN - 0361-0926
VL - 22
SP - 2723
EP - 2732
JO - Communications in Statistics - Theory and Methods
JF - Communications in Statistics - Theory and Methods
IS - 10
ER -