✦ LIBER ✦

An elementary derivation of the maximum likelihood estimator of the covariance matrix, and an illustrative determinant inequality

✍ Scribed by Seppo Karrila; Tapio Westerlund

Publisher: Elsevier Science
Year: 1991
Tongue: English
Weight: 141 KB
Volume: 27
Category: Article
ISSN: 0005-1098
DOI: 10.1016/0005-1098(91)90095-j

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✦ Synopsis

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.

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