Asymptotic Distribution of Sample Covariance Determinant

Authors

  • Maman Djauhari

DOI:

https://doi.org/10.11113/matematika.v25.n.261

Abstract

Under normality, an asymptotic distribution of sample covariance determinant will be derived. We show that this asymptotic distribution is more applicable in practice than the classical one. This will justify its usefulness in inferential study and other applications in a more comprehensive and accurate manner. Keywords: Convergence in distribution; generalized variance; multivariate dispersion; parameter estimation; unbiased estimate.

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Published

01-06-2009

Issue

Volume 25 (June 2009)

Section

Analysis and Algebra

License

Copyright of articles that appear in MATEMATIKA: MJIAM belongs exclusively to Penerbit UTM Press, Universiti Teknologi Malaysia. This copyright covers the rights to reproduce the article, including reprints, electronic reproductions or any other reproductions of similar nature.

How to Cite

Asymptotic Distribution of Sample Covariance Determinant. (2009). MATEMATIKA, 25, 79-85. https://doi.org/10.11113/matematika.v25.n.261