OurBigBook.comSite Source code

Maximum-likelihood covariance estimator for centered Gaussian data ( $Σ$ )

For independent

Z_{i} \sim N_{p} (0, Σ)

with known zero mean,

Σ = \frac{1}{n} \sum_{i = 1}^{n} Z_{i} Z_{i}^{T} .

Table of contents 28 1
- Asymptotic covariance of the bivariate Gaussian covariance estimator Maximum-likelihood covariance estimator for centered Gaussian data 19

 Ancestors (6)

 Incoming links (1)

Solution