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st: confidence interval for covariance


From   Roger Harbord <roger.harbord@bristol.ac.uk>
To   Statalist <statalist@hsphsun2.harvard.edu>
Subject   st: confidence interval for covariance
Date   Wed, 28 Sep 2005 16:43:12 +0100

Hello,
Does anyone know how to find a confidence interval for the covariance of 2 variables (NB not the correlation) based on a sample of iid observations from (approximately) a bivariate normal distribution?

Stata code would be ideal (esp if it allows aweights), but a formula or a reference would be a great help too.

I guess i could always bootstrap but my sample sizes are rather small (often around 5 to 30).

Thanks,
Roger.

--
Roger Harbord roger.harbord@bristol.ac.uk
MRC Health Services Research Collaboration & Dept. of Social Medicine
University of Bristol http://www.epi.bris.ac.uk/staff/rharbord

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