Inference about clustering and parametric assumptions in covariance matrix estimation

DOI10.1016/J.CSDA.2011.06.034zbMATH Open1318.62182OpenAlexW2001655697MaRDI QIDQ429607FDOQ429607

Authors: Mikko Packalen, Tony S. Wirjanto 

Publication date: 20 June 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2011.06.034

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zbMATH Keywords

powercovariance matrix estimatorsizecluster-robustfinite samplesheteroskedasticity-robust

Mathematics Subject Classification ID

Point estimation (62F10) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites Work

• Maximum Likelihood Estimation of Misspecified Models
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Asymptotic properties of a robust variance matrix estimator for panel data when \(T\) is large
• How Much Should We Trust Differences-In-Differences Estimates?
• On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
• Robust tests for heteroskedasticity in the one-way error components model
• Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
• Testing for heteroskedasticity and serial correlation in a random effects panel data model
• The Finite-Sample Performance of White's Test for Heteroskedasticity Under Stochastic Regressors

Cited In (3)

• MANOVA, LDA, and FA criteria in clusters parameter estimation
• Comparing large covariance matrices under weak conditions on the dependence structure and its application to gene clustering
• The structure of autocovariance matrix of discrete time subfractional Brownian motion

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