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A matrix derivation of the asymptotic covariance matrix of sample correlation coefficients

✍ Scribed by D.G. Nel


Publisher
Elsevier Science
Year
1985
Tongue
English
Weight
392 KB
Volume
67
Category
Article
ISSN
0024-3795

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Eigenelement Statistics of Sample Covari
✍ Petre Stoica; Torsten SΓΆderstrΓΆm πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 186 KB

This paper derives the asymptotic second-order moments of the distinct eigenvalues and the corresponding eigenvectors of a sample covariance matrix in the correlated snapshot case. The general moment formulas obtained herein encompass several previously published results as special cases. The formul