A minimal characterization of the covariance matrix (Q1099540)

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scientific article; zbMATH DE number 4041064
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    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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