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Asymptotic covariance of the bivariate Gaussian covariance estimator
...
Mathematics
Area of mathematics
Probability and statistics
Multivariate normal distribution
Bivariate normal distribution
Maximum-likelihood covariance estimator for centered Gaussian data
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Words: 19
Writing
a
=
Σ
11
,
c
=
Σ
12
, and
b
=
Σ
22
, the vector
(
Σ
11
,
Σ
12
,
Σ
22
)
has asymptotic covariance
2
a
2
2
a
c
2
c
2
2
a
c
ab
+
c
2
2
b
c
2
c
2
2
b
c
2
b
2
.
(224)
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(7)
Maximum-likelihood covariance estimator for centered Gaussian data
Bivariate normal distribution
Multivariate normal distribution
Probability and statistics
Area of mathematics
Mathematics
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