Asymptotic distribution for the proportional covariance model

Asymptotic distribution for the proportional covariance model under multivariate normal distributions is derived. To this end, the parametrization of the common covariance matrix by its Cholesky root is adopted. The derivations are made in three steps. First, the asymptotic distribution of the maxim...

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Veröffentlicht in:	arXiv.org 2021-03
1. Verfasser:	Myung Geun Kim
Format:	Artikel
Sprache:	eng
Schlagworte:	Asymptotic methods Asymptotic properties Covariance matrix Homogeneity Maximum likelihood estimators Multivariate analysis Parameterization
Online-Zugang:	Volltext
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