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Influence Function and Efficiency of the Minimum Covariance Determinant Scatter Matrix Estimator

โœ Scribed by Christophe Croux; Gentiane Haesbroeck

Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
406 KB
Volume
71
Category
Article
ISSN
0047-259X

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An elementary derivation of the maximum
An elementary derivation of the maximum likelihood estimator of the covariance matrix, and an illustrative determinant inequality
โœ Seppo Karrila; Tapio Westerlund ๐Ÿ“‚ Article ๐Ÿ“… 1991 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 141 KB

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