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Sylvester matrix and common factors in polynomial matrices
Wegge, Leon L. (contributor) - 2007
With the coefficient matrices of the polynomial matrices replacing the scalar coefficients in the standard Sylvester matrix, common factors exist if and only if this (generalized) Sylvester matrix is singular and the coefficient matrices commute. If the coefficient matrices do not commute, a...
Persistent link: https://www.econbiz.de/10003728031
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Tyler's M-estimator, random matrix theory, and generalized elliptical distributions with applications to finance
Frahm, Gabriel (contributor); Jaekel, Uwe (contributor) - 2007
Persistent link: https://www.econbiz.de/10003449387
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Prediction, orthogonal polynomials and Toeplitz matrices : a fast and reliable approximation to the Durbin-Levinson algorithm
Kateb, Djalil; Seghier, Abdellatif; Teyssière, Gilles - In: Long memory in economics : with 50 tables, (pp. 239-261). 2006
Persistent link: https://www.econbiz.de/10003375646
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Tests for high-dimensional covariance matrices
Chen, Song Xi; Zhang, Li-xin; Zhong, Ping-shou - In: Journal of the American Statistical Association : JASA 105 (2010) 490, pp. 810-819
Persistent link: https://www.econbiz.de/10008736837
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A new multivariate EWMA scheme for monitoring covariance matrices
Shen, Xiaobei; Tsung, Fugee; Zou, Changliang - In: International journal of production research 52 (2014) 10, pp. 2834-2850
Persistent link: https://www.econbiz.de/10010353340
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Random matrix approach to correlation matrix of financial data : (Mexican stock market case)
Casillas González, Juan Martín; Torres, Antonio Alatorre - In: Modern economy 6 (2015) 9, pp. 1033-1042
Persistent link: https://www.econbiz.de/10011441589
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Extended Yule-Walker identification of Varma models with single- or mixed-frequency data
Zadrozny, Peter A. - 2016
Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available...
Persistent link: https://www.econbiz.de/10011459174
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Extended Yule-Walker identification of Varma models with single- or mixed-frequency data
Zadrosny, Peter A. - 2016
Persistent link: https://www.econbiz.de/10011539924
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Testing against changing correlation
Harvey, Andrew C.; Thiele, Stephen - 2014
Persistent link: https://www.econbiz.de/10010504846
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Extended Yule-Walker identification of Varma models with single- or mixed frequency data
Zadrozny, Peter A. - 2015
Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available...
Persistent link: https://www.econbiz.de/10011411362