Inference about clustering and parametric assumptions in covariance matrix estimation

DOI10.1016/J.CSDA.2011.06.034MaRDI QIDQ429607zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• 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
• Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
• How Much Should We Trust Differences-In-Differences Estimates?
• Maximum Likelihood Estimation of Misspecified Models
• 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
• 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
• The structure of autocovariance matrix of discrete time subfractional Brownian motion
• Comparing large covariance matrices under weak conditions on the dependence structure and its application to gene clustering

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