A Note on the Asymptotic Variance of Sample Roots
نویسنده
چکیده
We derive the asymptotic distribution of the eigenvalues of a sample covariance matrix with distinct roots. Our theorem can accommodate the situation in which the population covariance matrix is estimated via its sample analogue as well as the more general case in which it is estimated via a √ N -consistent extremum estimator. The sample roots will have a Normal distribution in ∗Address: 2424 Maile Way; 533 Saunders Hall; Honolulu, HI 96822. Tele: (808) 956-8615. Email: [email protected]. WWW: www2.hawaii.edu/~halliday. I thank Bo Honoré for useful feedback. †Department of Economics
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تاریخ انتشار 2012