AN ELEMENTARY DERIVATION OF THE MAXIMUM-LIKELIHOOD ESTIMATOR OF THE COVARIANCE-MATRIX, AND AN ILLUSTRATIVE DETERMINANT INEQUALITY

被引：1

作者：

KARRILA, S

WESTERLUND, T

机构：

[1] Department of Chemical Engineering, Åbo Akademi, SF-20500 Åbo

来源：

AUTOMATICA | 1991年 / 27卷 / 02期

关键词：

MAXIMUM LIKELIHOOD ESTIMATION; ESTIMATION; DETERMINANTS; OPTIMIZATION; LEAST-SQUARES ESTIMATION;

D O I：

10.1016/0005-1098(91)90095-J

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

The unique maximum likelihood estimate of the covariance matrix of normally distributed random vectors is derived by use of elementary linear algebra leading to simple scalar equations. In addition the application of a determinant inequality, also derived here, shows that a standard "derivation" of the maximum likelihood estimate is fallacious.

引用

页码：425 / 426

页数：2

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