Asymptotic Distribution of Sample Covariance Determinant

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.