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A note on the covariance matrix of the maximum likelihood estimator in constrained multivariate linear regression |
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| Authors: | YC Chang |
| Institution: | University of Notre Dame, Notre Dame, IN 46556, USA |
| Abstract: | A useful result concerning variances and covariances of a linear function of a random matrix is applied to find the variance–covariance matrix of the maximum likelihood estimator in multivariate linear regression subject to zero constraints. |
| Keywords: | |
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