Dominique, Fourdrinier; Strawderman William E.; Wells … - In: Statistics & Risk Modeling 26 (2009) 3, pp. 203-217
Let X, U1, …, Un-1 be n random vectors in ℝp with joint density of the form f((X - θ)´∑-1 (X - θ) + ∑n-1j = 1 U´j∑-1 Uj) where both θ∈ℝp and ∑ are unknown, the scale matrix ∑ being supposed structured as a diagonal matrix, that is, ∑= diag(∑1, …,∑b) where, for 1...