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ML Characterization of the Multivariate Normal Distribution

✍ Scribed by W. Stadje

Publisher: Elsevier Science
Year: 1993
Tongue: English
Weight: 232 KB
Volume: 46
Category: Article
ISSN: 0047-259X
DOI: 10.1006/jmva.1993.1052

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✦ Synopsis

It is a well-known result (which can be traced back to Gauss) that the only translation family of probability densities on (\mathbb{R}) for which the arithmetic mean is a maximum likelihood estimate of the translation parameter originates from the normal density. We generalize this characterization of the normal density to multivariate translation families. ic 1993 Academic Press, Inc.

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