Abstract :
In the paper by Kai-ching Chu (see ibid., vol.AC-18, p.499-505, 1973), the conditional covariance matrix of x/sub 2/ given x/sub 1/ was formulated, when x=(x/sub 1//sup T/, x/sub 2//sup T/)/sup T/ is elliptically distributed. A comment is presented to point out an error in the formulation of the conditional covariance matrix and its proof.
Keywords :
covariance matrices; estimation theory; linear systems; random processes; conditional covariance matrix; elliptical distribution; elliptical random processes; linear systems; proof; Covariance matrix; Density functional theory; Equations; Gaussian distribution; Linear systems; Random processes; Random variables; Security;
