Questions tagged [asymptotic-covariance]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
1
vote
1answer
300 views

Variance of evidence lower bound(ELBO) loss function

When using Bayesian optimisation in a neural network our loss function is equal to: Here the first term is the KL divergence between the approximate and true posteriors. The second term is the ...
0
votes
1answer
27 views

OLS estimator of ARMA(1,1) process

When I solved the DGP in the picture, I got an ARMA(1,1) process with intercept term (1-a)*mu. To solve my problem I need the (X'X)^-1(X'Y) form equation of "mu hat". How can I derive the equation in ...
0
votes
0answers
89 views

Asymptotic covariance matrix of the maximum likelihood estimator of the parameters of a multivariate normal distribution

I would like to know how to derive the asymptotic covariance matrix of the maximum likelihood estimator of the two parameters (mean vector and covariance matrix) of a multivariate normal distribution. ...