The variance matrix of sample second-order moments in multivariate linear relations
We derive an expression for the variance matrix of the vector of (uncentered) sample second-order moments under multivariate linear relations and an independence assumption. An application of the result is presented.
Volume (Year): 15 (1992)
Issue (Month): 1 (September)
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- Albert Satorra, 1991. "Asymptotic robust inferences in the analysis of mean and covariance structures," Economics Working Papers 3, Department of Economics and Business, Universitat Pompeu Fabra.
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