A NOTE ON THE MEAN VOLUME OF CONFIDENCE ELLIPSOID FOR THE MEAN OF MULTIVARIATE NORMAL DISTRIBUTION

Authors

  • Jie Mi

Keywords:

Hotelling's T 2, condence ellipsoid, projection, mean volume, change of sign.

Abstract

This paper shows that more data or information is better in estimating the mean
of a multivariate normal distribution. Precisely, the mean volume of condence
ellipsoid for the mean decrease with addition of independent observation. This
result is obvious when the variance-covariance matrix of the multivariate normal
distribution is known, but it not so straight to see the result when the variancecovariance
matrix is unknown.

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Issue

Vol. 42 No. 1 (2008)

Section

Articles