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http://dx.doi.org/10.5351/CKSS.2003.10.2.603

Note on Estimating the Eigen System of Σ1-1Σ2  

Kim, Myung-Geun (Department of Applied Statistics, Seowon University)
Publication Information
Communications for Statistical Applications and Methods / v.10, no.2, 2003 , pp. 603-606 More about this Journal
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.
Keywords
Eigenvalue; eigenvector; maximum likelihood estimator;
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