A note on the existence of maximum likelihood estimates for Gaussian-inverted Wishart models

N. Le, L. Sun and J. V. Zidek

Statistics & Probability Letters, 1998, vol. 40, issue 2, 133-137

Abstract: We show that a non-identifiability problem can occur when one attempts to estimate the degrees of freedom and the unstructured covariance matrix simultaneously in a Gaussian-inverted Wishart model, using the maximum likelihood approach. However, the EM algorithm may falsely converge to give finite estimates in this case simply because of the convergence criterion used. An alternative approach is proposed to overcome the problem.

Keywords: EM; algorithm; Inverted; Wishart; distribution; Empirical; bayes; Conjugate; prior (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (1)

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