A note on the covariance matrix of the maximum likelihood estimator in constrained multivariate linear regression

DOI10.1016/0304-4076(85)90123-XzbMath0572.62044MaRDI QIDQ1062385

B. George

Publication date: 1985

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

maximum likelihood estimatorvariance-covariance matrixmultivariate linear regressionlinear function of a random matrixzero constraints

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Related Items (2)

Kernel density estimation for partial linear multivariate responses models ⋮ Statistical inference for multivariate partially linear regression models

Cites Work

• Some aspects of bivariate regression subject to linear constraints
• Some Finite Sample Results in the Context of Two Seemingly Unrelated Regression Equations
• Matricvariate Generalizations of the Multivariate $t$ Distribution and the Inverted Multivariate $t$ Distribution

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