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A note on the unbiased estimator of Σ2

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  • Zhou, Bu
  • Guo, Jia

Abstract

This paper gives simple and intuitive derivations of three equivalent forms of a distribution-free and unbiased estimator of the squared covariance matrix Σ2. Particularly, computationally efficient forms of the unbiased estimators of Σ2 and its trace are derived from the computationally intensive U-statistic forms.

Suggested Citation

  • Zhou, Bu & Guo, Jia, 2017. "A note on the unbiased estimator of Σ2," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 141-146.
    • Handle: RePEc:eee:stapro:v:129:y:2017:i:c:p:141-146
    DOI: 10.1016/j.spl.2017.05.014
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    References listed on IDEAS

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