Proportionality of k covariance matrices

Bernhard K. Flury

Statistics & Probability Letters, 1986, vol. 4, issue 1, 29-33

Abstract: This article discusses maximum likelihood estimation of proportional covariance matrices under normality assumptions. An algorithm for solving the likelihood equations and the likelihood ratio statistic for testing the hypothesis of proportionality are given. The method is illustrated by a numerical example.

Keywords: maximum; likelihood; eigenvalues; eigenvectors; asymptotic; test (search for similar items in EconPapers)
Date: 1986
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Citations: View citations in EconPapers (9)

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