On rank estimation in semidefinite matrices
AbstractThis work concerns the problem of rank estimation in semidefinite matrices, having either indefinite or semidefinite matrix estimator satisfying a typical asymptotic normality condition. Several rank tests are examined, based on either available rank tests or basic new results. A number of related issues are discussed such as the choice of matrix estimators and rank tests based on finer assumptions than those of asymptotic normality of matrix estimators. Several examples where rank estimation in semidefinite matrices is of interest are studied and serve as guide throughout the work.
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Bibliographic InfoPaper provided by Universidade do Porto, Faculdade de Economia do Porto in its series CEF.UP Working Papers with number 1002.
Length: 21 pages
Date of creation: Feb 2010
Date of revision:
rank; symmetric matrix; indefinite and semidefinite estimators; eigenvalues; matrix decompositions; estimation; asymptotic normality.;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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