Abstract
A few years ago, Heinz Neudecker sent me a complimentary copy of his paper entitled “Mathematical properties of the variance of the multinomial distribution”. On the first page was the handwritten message: “Lieber Herr Trenkler, vielleicht interessiert Sie diese Arbeit! Ihr HN.” In fact, I found this paper, Neudecker (1995), so impressive that it motivated me to work on the same topic, namely the covariance of the multinomial distribution and related matrix theory. Of course, the reader will recognise the use of some of Neudecker’s favourite tools and tricks in the results below.
Support by Deutsche Forschungsgemeinschaft, Grant No. TR 253/2-3 is gratefully acknowledged.
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Trenkler, G. (2000). On a Generalisation of the Covariance Matrix of the Multinomial Distribution. In: Heijmans, R.D.H., Pollock, D.S.G., Satorra, A. (eds) Innovations in Multivariate Statistical Analysis. Advanced Studies in Theoretical and Applied Econometrics, vol 36. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-4603-0_4
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DOI: https://doi.org/10.1007/978-1-4615-4603-0_4
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