Tests for serial independence and goodness-of-fit based on divergence notions between probability distributions, such as the Kullback-Leibler divergence or Hellinger distance, have recently received much interest in time series analysis. The aim of this paper is to introduce tests for serial...

A standard test for weak instruments compares the first-stage F-statistic to a table of critical values obtained by Stock and Yogo (2005) using simulations. We derive a closed-form solution for the expectation from which these critical values are derived, as well as present some second-order...

The cumulants of the quadratic forms associated to the so-called spatial design matrices are often needed for inference in the context of isotropic processes on uniform grids. Unfortunately, because the eigenvalues of the matrices involved are generally unknown, the computation of the cumulants...

Tests for serial independence and goodness-of-fit based on divergence notions between probability distributions, such as the Kullback-Leibler divergence or Hellinger distance, have recently received much interest in time series analysis. The aim of this paper is to introduce tests for serial...

A standard test for weak instruments compares the first-stage F-statistic to a table of critical values obtained by Stock and Yogo (2005) using simulations. We derive a closed-form solution for the expectation from which these critical values are derived, as well as present some second-order...

We investigate how price variations of a stock are transformed into profits and losses (P&Ls) of a trend following strategy. In the frame of a Gaussian model, we derive the probability distribution of P&Ls and analyze its moments (mean, variance, skewness and kurtosis) and asymptotic behavior...

Starting with an individual firm and its quadratic production function, this paper derives all related functions marginal and average cost, supply, profit, and input-demand. Since derivatives in other functions correspond to parameters of the quadratic, the results generalize. Explicit...

This paper provides a moment-based approximation to the distribution of a quadratic forms in uniform random variables and in order statistics from a uniform population. Certain goodness-of-fit statistics can be expressed in terms of the latter. In particular, it is shown that the proposed...

This note presents sharp inequalities for deviation probability of a general quadratic form of a random vector Xi with finite exponential moments. The obtained deviation bounds are similar to the case of a Gaussian random vector. The results are stated under general conditions and do not suppose...