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Maximum‐likelihood estimates and likelihood‐ratio criteria for multivariate elliptically contoured distributions
Author(s) -
Anderson T. W.,
Hsu Huang,
Fang KaiTai
Publication year - 1986
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.2307/3315036
Subject(s) - multivariate statistics , statistics , mathematics , estimator , scatter matrix , multivariate normal distribution , covariance matrix , likelihood ratio test , maximum likelihood , multivariate analysis , covariance , maximum likelihood sequence estimation , class (philosophy) , restricted maximum likelihood , normal wishart distribution , computer science , artificial intelligence
For a class of multivariate elliptically contoured distributions the maximum‐likelihood estimators of the mean vector and covariance matrix are found under certain conditions. Likelihood‐ratio criteria are obtained for a class of null hypotheses. These have the same form as in the normal case.