COVARIANCE MATRICES OF QUADRATIC-FORMS IN ELLIPTIC DISTRIBUTIONS

被引：4

作者：

ZHAO, Y ^{[1
]}

机构：

[1] GRAD UNIV ADV STUDIES,DEPT STAT SCI,MINATO KU,TOKYO 106,JAPAN

来源：

STATISTICS & PROBABILITY LETTERS | 1994年 / 21卷 / 02期

关键词：

A GENERALIZED QUADRATIC FORM; ELLIPTIC DISTRIBUTIONS; GENERALIZED LINEAR MODEL; SUBCLASSES OF ELLIPTIC DISTRIBUTIONS;

D O I：

10.1016/0167-7152(94)90220-8

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The covariance matrix of a generalized quadratic form is obtained under the assumption of an elliptical distribution. As special cases of the result, the variances and covariances of a sample covariance matrix for an elliptical population are given. A covariance matrix is derived for an estimator of dispersion matrix in the multivariate generalized linear model with elliptical distribution error. The corresponding results for subclasses of elliptical distributions are also obtained.

引用

页码：131 / 140

页数：10