Article ID Journal Published Year Pages File Type
5129722 Statistics & Probability Letters 2017 6 Pages PDF
Abstract

This paper gives simple and intuitive derivations of three equivalent forms of a distribution-free and unbiased estimator of the squared covariance matrix Σ2. Particularly, computationally efficient forms of the unbiased estimators of Σ2 and its trace are derived from the computationally intensive U-statistic forms.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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