MLE of jointly constrained mean-covariance of multivariate normal distributions

DOI10.1007/s13571-022-00296-zarXiv2012.11826OpenAlexW3117524357MaRDI QIDQ6102196

Anupam Kundu, Mohsen Pourahmadi

Publication date: 8 May 2023

Published in: Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.11826

zbMATH Keywords

Lagrange multipliermaximum likelihood estimationiterative methodscovariance matrixpositive-definite matrices

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Point estimation (62F10) Parametric inference under constraints (62F30) Numerical solution of nonlinear eigenvalue and eigenvector problems (65H17)

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