A note on the covariance matrix of the maximum likelihood estimator in constrained multivariate linear regression |
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Authors: | Y.C. Chang |
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Affiliation: | University of Notre Dame, Notre Dame, IN 46556, USA |
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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. |
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