The sample covariance is not efficient for elliptical distributions

Journal of Multivariate Analysis

Volumn 80, Issue 2, 2002, Pages 358-377

  Falk, Michael ^a  

^a CATHOLIC UNIVERSITY OF EICHSTÄTT INGOLSTADT   (Germany)

Author keywords

Efficient estimator; Elliptical distribution; Local asymptotic normality (LAN); Regular estimator; Spherically symmetric distribution

Indexed keywords

EID: 0036125530     PISSN: 0047259X     EISSN: None     Source Type: Journal    
DOI: 10.1006/jmva.2000.1983     Document Type: Article

References (7)

1. On the theory of elliptically contoured distributions
2. Elliptically symmetric distributions: A review and bibliography
3. A note on the comedian for elliptical distributions
4. "Symmetric Multivariate and Related Distributions"
5. "Parametric Statistical Theory"