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Re: covariance
Posted:
Mar 7, 2010 10:42 AM


> In statistics the sample variance is different from > population > variance, is it the same for sample covariance? Do we > divide by n1 > instead of n?
Let NUM = Sum(XikXBARi)(XjkXBARj) be the numerator, where the sum is over k = 1, ..., n.
1). The unbiased estimate of the covariance, SIGij, is NUM/(n1).
2). For samples from a multivariate normal distribution, the maximum likelihood estimate of SIGij is NUM/n.
3). For samples from a multivariate normal distribution, the minimum meansquare estimate of SIGij is NUM/(n+1).
Jack www.tomskystatistics.com



