A minimal characterization of the covariance matrix (Q1099540)
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scientific article; zbMATH DE number 4041064
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| English | A minimal characterization of the covariance matrix |
scientific article; zbMATH DE number 4041064 |
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A minimal characterization of the covariance matrix (English)
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1988
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Let X be a k-dimensional random vector with mean vector \(\mu\) and non- singular covariance matrix \(\Sigma\). We show that among all pairs (a,\(\Delta)\), \(a\in {\mathbb{R}}^ k\), \(\Delta \in {\mathbb{R}}^{k\times k}\) positive definite and symmetric and \(E(X-a)'\Delta^{-1}(X-a)=k\), (\(\mu\),\(\Sigma)\) is the unique pair which minimizes det \(\Delta\). This motivates certain robust estimators of location and scale.
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minimal characterization of covariance matrices
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non-singular covariance matrix
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positive definite
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symmetric
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robust estimators of location and scale
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0.7858388423919678
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0.772685706615448
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0.7670201659202576
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0.7653926014900208
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0.7635242938995361
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