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st: confidence interval for covariance

From   Roger Harbord <>
To   Statalist <>
Subject   st: confidence interval for covariance
Date   Wed, 28 Sep 2005 16:43:12 +0100

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).


Roger Harbord
MRC Health Services Research Collaboration & Dept. of Social Medicine
University of Bristol

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