Pythagorean generalization of testing the equality of two symmetric positive definite matrices

DOI10.1016/j.jeconom.2017.05.020zbMath1378.62019OpenAlexW2519281416WikidataQ114161734 ScholiaQ114161734MaRDI QIDQ1680188

Jin Seo Cho, Peter C. B. Phillips

Publication date: 23 November 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://eprints.soton.ac.uk/414963/1/JSCHO_05_09_17_IMTest.pdf

zbMATH Keywords

eigenvaluestracearithmetic meangeometric meandeterminantharmonic meanmatrix equalitysandwich covariance matrix

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15)

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