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

Heinz Neudecker; Shuangzhe Liu

doi:10.1080/03610929308831181

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

Heinz Neudecker
, Shuangzhe Liu

Information Systems

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

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 language	English
Pages (from-to)	2723-2732
Number of pages	10
Journal	Communications in Statistics - Theory and Methods
Volume	22
Issue number	10
DOIs	https://doi.org/10.1080/03610929308831181
Publication status	Published - 1993

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title = "Best quadratic and positive semidefinite unbiased estimation of the variance matrix of the multivariate normal distribution",

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.",

author = "Heinz Neudecker and Shuangzhe Liu",

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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

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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 -

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

Abstract

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