Best quadratic and positive semidefinite unbiased estimation of the variance matrix of the multivariate normal distribution
A BQPUE (best quadratic and positive semidefinite unbiased estimator) of the matrix V for the distribution vec X′∽Nnp(vec M′, U⊗V) is being given. It is unique, although still depending on U and M. When U = I and M = (μ,…,μ), we get a well-known (unique) result not depending on M.