A curious likelihood identity for the multivariate t-distribution

@inproceedings{Kent1994ACL,
  title={A curious likelihood identity for the multivariate t-distribution},
  author={John T. Kent and David E. Tyler and Yahuda. Vard},
  year={1994}
}
It is shown that maximum likelihood estimates of the location vector and scatter matrix for a multivariate t-distribution in p dimensions with v≥1 degrees of freedom. can be identified with the maximum likelihood estimates for a scatter-only estimation problem from a (p+1)-dimensional multivariate the t-distribution with v−1>0 degrees of freedom. The t-distribution is only distribution for which this dual formulation is possible. Since the existence and uniqueness properties of maximum… CONTINUE READING

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