The sample covariance is not efficient for elliptical distributions

DOI10.1006/jmva.2000.1983zbMath0998.62052OpenAlexW2048571138MaRDI QIDQ1599245

Michael Falk

Publication date: 5 June 2002

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.2000.1983

zbMATH Keywords

local asymptotic normalityefficient estimatorLANregular estimatorelliptical distributionspherically symmetric distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (2)

Semiparametrically efficient rank-based inference for shape. I: optimal rank-based tests for sphericity ⋮ Robust sparse covariance estimation by thresholding Tyler's M-estimator

Cites Work

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• Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
• On the theory of elliptically contoured distributions
• A note on the comedian for elliptical distributions
• Elliptically Symmetric Distributions: A Review and Bibliography

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