deterministically as a function of time. The alternative is a covariance matrix, not a correlation matrix, so the test may be viewed as …

this area are the specification tests related to the correlation component, the extension of the general model to allow for …

This paper contains a Lagrange multiplier test of the hypothesis that the covariance matrix of a multivariate time … continuously as a function of time or some observable stochastic variables. -- error covariance structure ; Lagrange multiplier …