The coefficient of variation asymptotic distribution in the case of non-iid random variables

DOI10.1080/02664760802382491zbMath1473.62349OpenAlexW2003023555MaRDI QIDQ3183862

José Castro Pinto, José Dias Curto

Publication date: 21 October 2009

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10071/5542

zbMATH Keywords

conditional heteroskedasticityautocorrelationcoefficient of variationnon-iid random variables

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Testing hypotheses on coefficients of variation from a series of two-armed experiments
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• On the Performance of a Test for Coefficient of Variation
• Asymptotic inference for coefficients of variation
• Tests of Coefficients of Variation of Normal Population
• Testing the equality of coefficients of variation in k normal populations
• Improved nonparametric confidence intervals in time series regressions

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