EXACT DISTRIBUTION OF THE MLE OF CONCENTRATION MATRICES IN DECOMPOSABLE COVARIANCE SELECTION MODELS
Jinglong Wang · 2001
Covariance selection models were introduced by Dempster (1972). The covariance selection model with a decomposable graph is called a decomposable covariance selection model. Based on the hyper-Markov property (Dawid and Lau- ritzen (1993)), the exact distribution of the Maximum Likelihood Estimator (MLE) of the concentration matrix in the decomposable covariance selection model is given.