Estimation of the Cholesky decomposition in a conditional independent normal model with missing data

We investigate the problem of estimating the Cholesky decomposition in a conditional independent normal model with missing data. Explicit expressions for the maximum likelihood estimators and unbiased estimators are derived. By introducing a special group, we obtain the best equivariant estimators.

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Year of publication:	2014
Authors:	He, Daojiang ; Xu, Kai
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 88.2014, C, p. 27-39
Publisher:	Elsevier
Subject:	Covariance matrix \| Precision matrix \| Cholesky decomposition \| Equivariant estimator \| Invariant Haar measure

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010752976