Estimation and test of several multivariate normal means under an order restriction when the dimension is larger than two
Suppose that an order restriction is imposed among several p-variate normal mean vectors. We are interested in the problems of estimating these mean vectors and testing their homogeneity under this restriction. These problems are multivariate extensions of Bartholomew's (1959) ones. For the bivariate case, these problems have been studied by Sasabuchi et al. (1983) and (1998) and some others. In the present paper we examine the convergence of an iterative algorithm for computing the maximum likelihood estimator when p is larger than two. We also study some test procedures for testing homogeneity when p is larger than two.
order restriction maximum likelihood estimator likelihood ratio test monte carlo simulation multivariate isotonic regression multivariate normal distribution