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Article #620expected value of the esimated covariance matrix
From: Behzad M Shahshahani
Date: Fri, 02 Oct 1992 16:36
Date: Fri, 02 Oct 1992 16:36
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895 bytes
This message didnot go through: I forgot to mention that I am interested in the multivariate case. Therefore here is my question again: Assuming that the covariance matrix is estimated from a set of multivariate normal observation, and the usual unbiased estimator S is used, then what is the expected value of the inverse of matrix S ? -behzad
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Newsgroups: sci.math.stat Path: arc1-ca.pugleaf.net!sparky!uunet!charon.amdahl.com!pacbell.com!ames!haven.umd.edu!darwin.sura.net!spool.mu.edu!sdd.hp.com!news.cs.indiana.edu!noose.ecn.purdue.edu!ec.ecn.purdue.edu!behzad From: behzad@ec.ecn.purdue.edu (Behzad M Shahshahani) Subject: expected value of the esimated covariance matrix Message-ID: <1992Oct2.163628.2003@noose.ecn.purdue.edu> Sender: Behzad M. Shahshahani (behzad@ecn.purdue.edu) Organization: Purdue University Engineering Computer Network Date: Fri, 2 Oct 1992 16:36:28 GMT Lines: 10