A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2021; you can also visit the original URL.
The file type is application/pdf
.
Maximum likelihood estimation for multivariate normal distribution with hierarchical missing data
2021
International Journal of Statistics and Applied Mathematics
Closed forms are obtained for the maximum likelihood estimators (MLE) of the mean vector and the covariance matrix of a multivariate normal model with a hierarchical missing pattern. According to the missing pattern, the likelihood function is decomposed as product of several independent normal and conditional normal likelihood functions. The original parameters are transformed into a new set of parameters whose MLE are easy to derive. Since the MLE are invariant, the MLE of the original parameters are derived using the inverse transformation.
doi:10.22271/maths.2021.v6.i3a.681
fatcat:djtwd3ckfzgzri5vkda3flgbdq