Generalization of Cramér-Rao and Bhattacharyya inequalities for the weighted covariance matrix
نویسندگان
چکیده
The paper considers a family of probability distributions depending on a parameter. The goal is to derive the generalized versions of Cramér-Rao and Bhattacharyya inequalities for the weighted covariance matrix and of the Kullback inequality for the weighted Kullback distance, which are important objects themselves [9, 23, 28]. The asymptotic forms of these inequalities for a particular family of probability distributions and for a particular class of continuous weight functions are given. AMS subject classifications: 94A17, 62B10, 62C10
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