0
$\begingroup$

I would like to know how to derive the asymptotic covariance matrix of the maximum likelihood estimator of the two parameters (mean vector and covariance matrix) of a multivariate normal distribution. While there are many online sources explaining how to derive the estimators (e.g., Maximum Likelihood Estimators - Multivariate Gaussian), I was not able to find a derivation (not even a formula) for their asymptotic covariance matrix (the matrix should also contain the covariance between the estimator of the mean vector and the estimator of the covariance matrix, which I guess is zero). I tried to derive it myself but I am stuck because probably something needs to be vectorized but I do not know how to do it exactly.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.