Maximum Likelihood Estimation for Linear Gaussian Covariance Models

Abstract

We study parameter estimation in linear Gaussian covariance models, which are $p$-dimensional Gaussian models with linear constraints on the covariance matrix. Maximum likelihood estimation for this class of models leads to a non-convex optimization problem which typically has many local maxima. Using recent results on the asymptotic distribution of extreme eigenvalues of the Wishart distribution, we provide sufficient conditions for any hill-climbing method to converge to the global maximum. Although we are primarily interested in the case in which $n>\!\!>p$, the proofs of our results utilize large-sample asymptotic theory under the scheme $n/p \to \gamma > 1$. Remarkably, our numerical simulations indicate that our results remain valid for $p$ as small as $2$. An important consequence of this analysis is that for sample sizes $n \simeq 14 p$, maximum likelihood estimation for linear Gaussian covariance models behaves as if it were a convex optimization problem.