Sankhya: The Indian Journal of Statistics1993, Volume 55, Series A, Pt. 3, 506--515
NUMERICAL PROCEDURES FOR ESTIMATING THE PARAMETERS IN A MULTIVARIATE HOMOGENEOUS CORRELATION MODEL WITH UNEQUAL VARIANCES
JUAN C. MEZA, Sandia National Laboratories, U. S. A.
INGRAM OLKIN, Stanford University, U. S. A.
SUMMARY. Closed form expressions for the maximum likelihood estimates (MLE) of the parameters in a multivariate normal distribution in which the variances are homogeneous and the correlations are equal is well-known. However, when the correlations are equal but the variances are not homogeneous, no closed form expressions are available. We provide two iterative procedures that converge rapidly. One procedure uses an extension of a well known scaling method, which is itself of intrinsic interest.
AMS Subject classification. 62H12
This article in Mathematical Reviews.