THE ASYMPTOTIC VARIANCE MATRICES OF THE SAMPLE CORRELATION MATRIX IN ELLIPTIC AND NORMAL SITUATIONS AND THEIR PROPORTIONALITY

Authors
NEUDECKER H
Citation
H. Neudecker, THE ASYMPTOTIC VARIANCE MATRICES OF THE SAMPLE CORRELATION MATRIX IN ELLIPTIC AND NORMAL SITUATIONS AND THEIR PROPORTIONALITY, Linear algebra and its applications, 237, 1996, pp. 127-132
Citations number
5
Categorie Soggetti
Mathematics,Mathematics
Journal title
Linear algebra and its applications → ACNP
ISSN journal
00243795
Volume
237
Year of publication
1996
Pages
127 - 132
Database
ISI
SICI code
0024-3795(1996)237:<127:TAVMOT>2.0.ZU;2-5
Abstract
This note presents the asymptotic variance matrices of the sample corr elation matrix in elliptical and normal situations and generalizes the scalar proportionality result to the multivariate case.