Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Note on Estimating the Eigen System of Σ1-1Σ2

  • Published : 2003.08.01
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Abstract

The maximum likelihood estimators of the eigenvalues and eigenvectors of $$\Sigma$$_1$^{-1}$$\Sigma$$_2$are shown to be the eigenvalues and eigenvectors of $S$_1$^{1}$S$_2$ under multivariate normality and are explicitly derived. The nature of the eigenvalues and eigenvectors of $$\Sigma$$_1$^{-1}$$\Sigma$$_2$ or their estimators will be uncovered.

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References

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