Abstract
As before,
provide consistent unbiased estimates for µ and Σ, respectively. In Section 7.2, the maximum likelihood estimates of µ and Σ are derived assuming x1,...,x n i.i.d. x with x ∼ N p (µ, Σ), Σ > 0. The fundamental result about the joint distribution of \( \bar x\) and S is proved in Proposition 7.1. The basic properties of Wishart distributions are studied in Section 7.3. Section 7.4 presents the Box-Cox transformation to enhance the multivariate normality of the data.s
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© 1999 Springer-Verlag New York, Inc.
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(1999). Wishart distributions. In: Theory of Multivariate Statistics. Springer Texts in Statistics. Springer, New York, NY. https://doi.org/10.1007/978-0-387-22616-3_7
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DOI: https://doi.org/10.1007/978-0-387-22616-3_7
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-98739-2
Online ISBN: 978-0-387-22616-3
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