Sankhya: The Indian Journal of Statistics
1995, Volume 57, Series A, Pt. 3, pp. 433--439
ESTIMATION OF COVARIANCE MATRICES UNDER LÖWNER ORDER RESTRICTIONS
MING-TIEN TSAI, Academia Sinica
SUMMARY. Treating the first covariance parameter as the nuisance parameter, this note derives the profile maximum likelihood estimators of covariance matrices under Löwner order restrictions. These estimators are found in closed forms and shown to be consistent.
AMS (1980) subject classification. 62H12.
Key words and phrases. Profile likelihood, Lowner ordering, Wishart distribution.
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