Why your model parameter confidences might be too optimistic. Unbiased estimation of the inverse covariance matrix
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Abstract
Aims.The maximum-likelihood method is the standard approach to obtain model fits to observational data and the corresponding confidence regions. We investigate possible sources of bias in the log-likelihood function and its subsequent analysis, focusing on estimators of the inverse covariance matrix. Furthermore, we study under which circumstances the estimated covariance matrix is invertible.
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3Topics & keywords
Topics
Keywords
- Estimation of covariance matrices
- Mathematics
- Covariance matrix
- Statistics
- Covariance
- Estimator
- Likelihood function
- Invertible matrix
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