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Covariance matrices of quadratic forms in elliptical distributions

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  • Zhao, Yi

Abstract

The covariance matrix of a generalized quadratic form is obtained under the assumption of an elliptical distribution. As special cases of the result, the variances and covariances of a sample covariance matrix for an elliptical population are given. A covariance matrix is derived for an estimator of dispersion matrix in the multivariate generalized linear model with elliptical distribution error. The corresponding results for subclasses of elliptical distributions are also obtained.

Suggested Citation

  • Zhao, Yi, 1994. "Covariance matrices of quadratic forms in elliptical distributions," Statistics & Probability Letters, Elsevier, vol. 21(2), pages 131-140, September.
    • Handle: RePEc:eee:stapro:v:21:y:1994:i:2:p:131-140
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