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Note on the estimation of the standardized covariance matrix

✍ Scribed by Yasuhiro Asoo

Publisher
Springer Japan
Year
1970
Tongue
English
Weight
179 KB
Volume
22
Category
Article
ISSN
0020-3157

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In this paper, we consider the problem of estimating the covariance matrix and the generalized variance when the observations follow a nonsingular multivariate normal distribution with unknown mean. A new method is presented to obtain a truncated estimator that utilizes the information available in