多元正态分布极大似然估计的一个注记

A Note of Maximum Likelihood Estimation of Multivariate Normal Distribution

多元正态分布是多元统计分析中的基础性分布.利用矩阵微商法,简洁地给出了多元正态分布参数的极大似然估计,校正了以往文献利用矩阵微商求极大似然估计的一些错误.

Multivariate normal distribution is the basic distribution of multivariate statistical analysis.The maximum likelihood estimation of multivariate normal distribution parameters was gave briefly by the method of matrix differential coefficient and some mistakes were revised in published literatures.