Estimation of a covariance matrix with zeros

We consider estimation of the covariance matrix of a multivariaterandom vector under the constraint that certain covariancesare zero. We first present an algorithm, which we call iterativeconditional fitting, for computing the maximum likelihood estimateof the constrained covariance matrix, under the assumption ofmultivariate normality. In contrast to previous approaches,this algorithm has guaranteed convergence properties. Droppingthe assumption of multivariate normality, we show how to estimatethe covariance matrix in an empirical likelihood approach. Theseapproaches are then compared via simulation and on an exampleof gene expression.