Numerical Procedures for Estimating the Parameters in a Multivariate Homogeneous Correlation Model with Unequal Variances
نویسندگان
چکیده
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 corre lations 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
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