Donald, Stephen G.; Fortuna, Natércia; Pipiras, Vladas - Faculdade de Economia, Universidade do Porto - 2005
We focus on the problem of rank estimation in an unknown symmetric matrix based on a symmetric, asymptotically normal estimator of the matrix. The related positive definite limit covariance matrix is assumed to be estimated consistently, and to have either a Kronecker product or an arbitrary...