Estimation of covariance matrices

In statistics, sometimes the covariance matrix of a multivariate random variable is not known but has to be estimated. Estimation of covariance matrices then deals with the question of how to approximate the actual covariance matrix on the basis of a sample from the multivariate distribution.

Source: Wikipedia — Estimation of covariance matrices (CC BY-SA 4.0)

Estimation of covariance matrices

In statistics, sometimes the covariance matrix of a multivariate random variable is not known but has to be estimated. Estimation of covariance matrices then deals with the question of how to approximate the actual covariance matrix on the basis of a sample from the multivariate distribution.

Source: Wikipedia "Estimation of covariance matrices" · CC BY-SA 4.0

Share this article: X · Bluesky
Privacy Policy