Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing

DOI10.1108/S0731-905320140000033014zbMath1453.62277OpenAlexW2101654262MaRDI QIDQ5133517

Halbert White, Jin Seo Cho

Publication date: 10 November 2020

Published in: Essays in Honor of Peter C. B. Phillips (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1108/s0731-905320140000033014

zbMATH Keywords

eigenvaluestracedeterminantinformation matrix testmatrix equality

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Eigenvalues, singular values, and eigenvectors (15A18) Statistical aspects of information-theoretic topics (62B10)

Related Items (4)

Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator ⋮ Pythagorean generalization of testing the equality of two symmetric positive definite matrices ⋮ Bootstrap specification tests for dynamic conditional distribution models ⋮ A unified approach to proving parametric bootstrap consistency for some goodness-of-fit tests

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