Estimation of covariance Matrics in Multidimensional Normality Population under Partially Ordered Constraint
Li Shu · 2002
For \%K P\%-multiple normal populations with unknown covariance matrix Λ\-1 i=1,2,...,k\%,assume that there are some order restrictions among the covariance matrices, for example, simple order restrictions: \%Λ\-1≥Λ\-2≥...≥Λ\-k0.\% Some properties of maximum likelihood estimations of \%Λ\-i′\%s are discussed and an algorithm of obtaining the maximum likelihood estimators umder the order restriction is propsed.