THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS
نویسندگان
چکیده
منابع مشابه
Statistic under Large Dimension
Sample covariance matrices are also of essential importance in multivariate statistical analysis because many test statistics involve their eigenvalues and/or eigenvectors. The typical example is T 2 statistic, which was proposed by Hotelling [2]. We refer to [1] and [3] for various uses of the T 2 statistic. The T 2 statistic, which is the origin of multivariate linear hypothesis tests and the...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2006
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466606060099