Maximum likelihood estimation for multivariate normal distribution with hierarchical missing data
Author(s): Jianqi Yu and Xiang Wang
Abstract: 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.
Jianqi Yu, Xiang Wang. Maximum likelihood estimation for multivariate normal distribution with hierarchical missing data. Int J Stat Appl Math 2021;6(3):16-19. DOI: 10.22271/maths.2021.v6.i3a.681
