Alternative HAC covariance matrix estimators with improved finite sample properties
type: Item
instance of: scholarly article
title: Alternative HAC covariance matrix estimators with improved finite sample properties
zbMATH Open document ID: 1469.62075
author: Luke Hartigan
published in: Computational Statistics and Data Analysis
publication date: 2018-08-17T00:00:00Z
full work available at URL: 2016-06.pdf
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62H12
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6920183
zbMATH Keywords: covariance matrix estimation
zbMATH Keywords: finite sample analysis
zbMATH Keywords: leverage points
zbMATH Keywords: hypothesis testing
zbMATH Keywords: Monte Carlo simulation
zbMATH Keywords: inference
describes a project that uses: Armadillo
MaRDI profile type: Publication
OpenAlex ID: W2399619874
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DOI: 10.1016/J.CSDA.2017.09.007
description: scientific article; zbMATH DE number 6920183