Testing super-diagonal structure in high dimensional covariance matrices
DOI10.1016/J.JECONOM.2016.05.007zbMATH Open1443.62166OpenAlexW2409073389MaRDI QIDQ308372FDOQ308372
Publication date: 6 September 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.05.007
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Computational methods for problems pertaining to statistics (62-08) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15)
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Cited In (5)
- Testing diagonality of high-dimensional covariance matrix under non-normality
- Variance-corrected tests for covariance structures with high-dimensional data
- Block-diagonal test for high-dimensional covariance matrices
- Testing super-diagonal structure in high dimensional covariance matrices
- Test for high dimensional covariance matrices
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