Self-Normalizing Denominators in Rational Covariance Estimators
Abstract
Many estimators are ratios of coprime polynomials in a sample covariance matrix, and their accuracy depends on the relative fluctuation of the sample denominator. Under Gaussian sampling in fixed dimension, we call a nonconstant polynomial denominator self-normalizing if the first-order variance of its relative error does not depend on the population covariance. We prove that these denominators are exactly the flag powers, nonzero constant multiples of products of positive integer powers of nested generalized variances. Equivalently, the denominator's sample-to-population ratio has a covariance-independent finite-sample law, which we determine explicitly. Sufficiency is classical; the new converse shows that a first-order variance condition forces an exact sampling law. We show that relative stability, meaning bounded first-order relative variance, characterizes uniform tightness of scaled relative errors over positive-definite covariances. It permits replacing the sample denominator by its population value in the limit theory of the ratio. Self-normalization is its rigid core. We locate these classes in applications, where regression on predecessors in a fixed order yields only constant or self-normalizing denominators, instrumental-variable formulas yield relatively unstable ones, and nonparametric identifiability does not guarantee relative stability.
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BibTeX
@misc{tamano2026selfnormalizing,
title = {{Self-Normalizing Denominators in Rational Covariance Estimators}},
author = {Shu Tamano},
howpublished = {arXiv},
year = {2026},
month = sep,
doi = {10.48550/arxiv.2608.20223},
eprint = {2608.20223},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2608.20223},
}
RIS
TY - UNPB
TI - Self-Normalizing Denominators in Rational Covariance Estimators
AU - Shu Tamano
PY - 2026
DA - 2026/09/24
PB - arXiv
DO - 10.48550/arxiv.2608.20223
UR - https://arxiv.org/abs/2608.20223
AB - Many estimators are ratios of coprime polynomials in a sample covariance matrix, and their accuracy depends on the relative fluctuation of the sample denominator. Under Gaussian sampling in fixed dimension, we call a nonconstant polynomial denominator self-normalizing if the first-order variance of its relative error does not depend on the population covariance. We prove that these denominators are exactly the flag powers, nonzero constant multiples of products of positive integer powers of nested generalized variances. Equivalently, the denominator's sample-to-population ratio has a covariance-independent finite-sample law, which we determine explicitly. Sufficiency is classical; the new converse shows that a first-order variance condition forces an exact sampling law. We show that relative stability, meaning bounded first-order relative variance, characterizes uniform tightness of scaled relative errors over positive-definite covariances. It permits replacing the sample denominator by its population value in the limit theory of the ratio. Self-normalization is its rigid core. We locate these classes in applications, where regression on predecessors in a fixed order yields only constant or self-normalizing denominators, instrumental-variable formulas yield relatively unstable ones, and nonparametric identifiability does not guarantee relative stability.
ER -