Re: expected value of the esimated covariance matrix

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Article #625

#625

From: Robb Muirhead
Date: Fri, 02 Oct 1992 17:24

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For a sample of size N from a MVN distribution

E(S**-1)={(N-1)/(N-p-2)}Sigma**-1

(p is the dimension, Sigma is the population cov matrix)

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Path: arc1-ca.pugleaf.net!sparky!uunet!gumby!destroyer!terminator!stat.lsa.umich.edu!robb

References: <1992Oct2.163628.2003@noose.ecn.purdue.edu>

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Path: arc1-ca.pugleaf.net!sparky!uunet!gumby!destroyer!terminator!stat.lsa.umich.edu!robb
From: robb@stat.lsa.umich.edu (Robb Muirhead)
Subject: Re: expected value of the esimated covariance matrix
Message-ID: <1992Oct2.172404.23902@terminator.cc.umich.edu>
Sender: news@terminator.cc.umich.edu (Usenet Owner)
Reply-To: robb@stat.lsa.umich.edu (Robb Muirhead)
Organization: University of Michigan, Dept. of Statistics
References:  <1992Oct2.163628.2003@noose.ecn.purdue.edu>
Date: Fri, 2 Oct 1992 17:24:04 GMT
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