Estimation of proportional covariances in the presene of certain linear restrictions
Soøren Tolver Jensen, Jesper Clausager Madsen · The Annals of Statistics · 2004
Proportionality of covariance matrices of n independent p-dimensional normal distributions with the same type of linear restrictions of the inverse covariances is considered. Conditions for existence and uniqueness of the maximum likelihood estimator are obtained through the development of general results for scale-invariant natural exponential families.