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Optimal estimation of a functional of a distribution
1991
We consider the problem of constructing, from independent identically distributed observations, an asymptotically normal estimate of minimal contrast with smallest covariance matrix.
Keywords:
- Central limit theorem
- Covariance matrix
- Estimation of covariance matrices
- Whitening transformation
- Mathematical analysis
- Independent and identically distributed random variables
- Statistics
- Mathematical optimization
- Optimal estimation
- Mathematics
- Covariance
- Multivariate normal distribution
- independent identically distributed
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