A note on the unbiased estimator of Sigma(2)

作者：Zhou Bu; Guo Jia^*

来源：Statistics & Probability Letters, 2017, 129: 141-146.

DOI：10.1016/j.spl.2017.05.014

• Unbiased estimators
• U-statistics
• Covariance matrix
• High-dimensional data

This paper gives simple and intuitive derivations of three equivalent forms of a distribution free and unbiased estimator of the squared covariance matrix Sigma(2). Particularly, computationally efficient forms of the unbiased estimators of Sigma(2) and its trace are derived from the computationally intensive U-statistic forms.

• 出版日期2017-10