Maximum likelihood estimation for multivariate normal distribution with hierarchical missing data
نویسندگان
چکیده
منابع مشابه
Maximum likelihood estimation of the multivariate normal mixture model
The Hessian of the multivariate normal mixture model is derived, and estimators of the information matrix are obtained, thus enabling consistent estimation of all parameters and their precisions. The usefulness of the new theory is illustrated with two examples and some simulation experiments. The newly proposed estimators appear to be superior to the existing ones. AMS 1991 subject classificat...
متن کاملThe multivariate Watson distribution: Maximum-likelihood estimation and other aspects
This paper studies fundamental aspects of modelling data using multivariate Watson distributions. Although these distributions are natural for modelling axially symmetric data (i.e., unit vectors where ±x are equivalent), for high-dimensions using them can be difficult—largely because for Watson distributions even basic tasks such as maximumlikelihood are numerically challenging. To tackle the ...
متن کاملNormalized Maximum Likelihood with Luckiness for Multivariate Normal Distributions
The normalized maximum likelihood (NML) is one of the most important distribution in coding theory and statistics. NML is the unique solution (if exists) to the pointwise minimax regret problem. However, NML is not defined even for simple family of distributions such as the normal distributions. Since there does not exist any meaningful minimax-regret distribution for such case, it has been poi...
متن کاملModified Maximum Likelihood Estimation in First-Order Autoregressive Moving Average Models with some Non-Normal Residuals
When modeling time series data using autoregressive-moving average processes, it is a common practice to presume that the residuals are normally distributed. However, sometimes we encounter non-normal residuals and asymmetry of data marginal distribution. Despite widespread use of pure autoregressive processes for modeling non-normal time series, the autoregressive-moving average models have le...
متن کاملQuasi-Maximum Likelihood Estimation of Multivariate Diffusions
This paper introduces quasi-maximum likelihood estimator for multivariate diffusions based on discrete observations. A numerical solution to the stochastic differential equation is obtained by higher order Wagner-Platen approximation and it is used to derive the first two conditional moments. Monte Carlo simulation shows that the proposed method has good finite sample property for both normal a...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Statistics and Applied Mathematics
سال: 2021
ISSN: 2456-1452,2456-1452
DOI: 10.22271/maths.2021.v6.i3a.681