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Moment condition tests for heavy tailed time series

โœ Scribed by Hill, Jonathan B.; Aguilar, Mike


Book ID
118200433
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
603 KB
Volume
172
Category
Article
ISSN
0304-4076

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โœ Mark M. Meerschaert; Hans-Peter Scheffler ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 147 KB

If a set of independent, identically distributed random vectors has heavy tails, so that the covariance matrix does not exist, there is no reason to expect that the sample covariance matrix conveys useful information. On the contrary, this paper shows that the eigenvalues and eigenvectors of the sam