Covariance terms using fitdist()

Question

Clay Robertson 2018-1-17

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此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/377597-covariance-terms-using-fitdist

回答： Bernhard Suhm 2018-1-21

采纳的回答： Bernhard Suhm

Hello,

I'm using the following to produce a distribution:

a = random('normal',10,1.5,1e3,1); pd = fitdist(a,'normal');

The the field pd.ParameterCovariance is a 2x2. The pd.ParameterCovariance(1,1) is cov(a)/numel(a). What is the pd.ParameterCovariance(2,2) the covariance of? And how can I calculate this without using the fitdist() function?

Thank you for the help.

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Answer 1

Bernhard Suhm 2018-1-21

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https://ww2.mathworks.cn/matlabcentral/answers/377597-covariance-terms-using-fitdist#answer_301042

pd.ParameterCovariance(2,2) is the covariance of the variance of the estimated normal distribution.

See https://www.mathworks.com/help/stats/prob.normaldistribution.html:

Covariance matrix of the parameter estimates, specified as a p-by-p matrix, where p is the number of parameters in the distribution. The (i,j) element is the covariance between the estimates of the ith parameter and the jth parameter. The (i,i) element is the estimated variance of the ith parameter.