Davis, J.; Mukherjea, A. - In: Journal of Multivariate Analysis 98 (2007) 6, pp. 1141-1159
Let (X1,X2,X3) be a 3-variate normal vector with zero means and a non-singular co-variance matrix [Sigma], where for i[not equal to]j, [Sigma]ij=0. It is shown here that it is then possible to determine the three variances and the three correlations based only on the knowledge of the density of...