Multivariate Estimation from "Two Variables at a Time" Observations

Year 2013, Volume: 42 Issue: 2, 189 - 197, 01.02.2013

Christopher S. Withers Saralees Nadarajah

Abstract

Suppose that we wish to estimate the mean µ and the covariance Cof a random p-vector X with p > 2, but we can only sample from thevector X two of its p components at a time. We give both nonparametric estimates and the maximum likelihood estimates (MLEs) undernormality, and their covariances.

Keywords

Maximum likelihood estimation, Multivariate normal, Nonparametric estimation, 2000 AMS Classification: 62F10

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