✦ LIBER ✦

The Sample Covariance Is Not Efficient for Elliptical Distributions

✍ Scribed by Michael Falk

Publisher: Elsevier Science
Year: 2002
Tongue: English
Weight: 152 KB
Volume: 80
Category: Article
ISSN: 0047-259X
DOI: 10.1006/jmva.2000.1983

No coin nor oath required. For personal study only.

✦ Synopsis

It is well known that the sample covariance is not an efficient estimator of the covariance of a bivariate normal vector. We extend this result to elliptical distributions and we propose a simple explicit estimator, which is efficient in the normal case and which outperforms the sample covariance in general. Necessary and sufficient conditions are established under which this estimator is in general efficient for an elliptical distribution.

📜 SIMILAR VOLUMES

Score Test for the Covariance Matrix of

Score Test for the Covariance Matrix of the Elliptic t-Distribution

✍ B.C. Sutradhar 📂 Article 📅 1993 🏛 Elsevier Science 🌐 English ⚖ 333 KB

The Distribution of the Covariance Matri

The Distribution of the Covariance Matrix for a Subset of Elliptical Distributions with Extension to Two Kurtosis Parameters

✍ H.S. Steyn 📂 Article 📅 1996 🏛 Elsevier Science 🌐 English ⚖ 314 KB

Sample size determination for the estima

Sample size determination for the estimation of the variance when the underlying distribution is not normal

✍ Schulz, W. 📂 Article 📅 1976 🏛 Wiley (John Wiley & Sons) ⚖ 361 KB 👁 2 views

The Ig-α ITAM is required for efficient

The Ig-α ITAM is required for efficient differentiation but not proliferation of pre-B cells

✍ Bettina Storch; Sonja Meixlsperger; Hassan Jumaa 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 344 KB