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Asymptotic covariance of the bivariate Gaussian covariance estimator
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)
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Mathematics
Area of mathematics
Probability and statistics
Multivariate normal distribution
Bivariate normal distribution
Maximum-likelihood covariance estimator for centered Gaussian data
Created
2026-09-24
Updated
2026-09-24
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Writing
a
=
Σ
11
,
c
=
Σ
12
, and
b
=
Σ
22
, the
vector
(
Σ
11
,
Σ
12
,
Σ
22
)
has asymptotic
covariance
2
a
2
2
a
c
2
c
2
2
a
c
ab
+
c
2
2
b
c
2
c
2
2
b
c
2
b
2
.
(1)
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(7)
Maximum-likelihood covariance estimator for centered Gaussian data
Bivariate normal distribution
Multivariate normal distribution
Probability and statistics
Area of mathematics
Mathematics
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Past exam of the mathematics course of the University of Cambridge
/
2023
/
ii
/
Paper 2
/
29K
/
c
/
Solution
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