Maximum Likelihood Estimation of Means and Variances from Normal Populations Under Simultaneous Order Restrictions

N. Z. Shi

Journal of Multivariate Analysis, 1994, vol. 50, issue 2, 282-293

Abstract: For k normal populations with unknown means [mu]i and unknown variances [sigma]2i, i = 1, ..., k, assume that there are some order restrictions among the means and variances, respectively, for example, simple order restrictions: [mu]1 = [sigma]22 >= ... >= [sigma]2k > 0. Some properties of maximum likelihood estimation of [mu]is and [sigma]2i are discussed and an algorithm of obtaining the maximum likelihood estimators under the order restrictions is proposed.

Date: 1994
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