IDEAS home Printed from https://ideas.repec.org/a/spr/aistmt/v43y1991i1p157-165.html
   My bibliography  Save this article

A note on estimating eigenvalues of scale matrix of the multivariate F-distribution

Author

Listed:
  • Yoshihiko Konno

Abstract

No abstract is available for this item.

Suggested Citation

  • Yoshihiko Konno, 1991. "A note on estimating eigenvalues of scale matrix of the multivariate F-distribution," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 43(1), pages 157-165, March.
    • Handle: RePEc:spr:aistmt:v:43:y:1991:i:1:p:157-165
    DOI: 10.1007/BF00116475
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/BF00116475
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/BF00116475?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Dipak Dey, 1988. "Simultaneous estimation of eigenvalues," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 40(1), pages 137-147, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Andre Lucas & Anne Opschoor, 2016. "Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns," Tinbergen Institute Discussion Papers 16-069/IV, Tinbergen Institute, revised 07 Jul 2017.
    2. Gribisch, Bastian & Hartkopf, Jan Patrick & Liesenfeld, Roman, 2020. "Factor state–space models for high-dimensional realized covariance matrices of asset returns," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 1-20.
    3. Wen, Jun, 2018. "Estimation of two high-dimensional covariance matrices and the spectrum of their ratio," Journal of Multivariate Analysis, Elsevier, vol. 168(C), pages 1-29.
    4. Pui Leung & Foon Ng, 2001. "Improved Estimation of Parameter Matrices in a One-Sample and Two-Sample Problems," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 53(4), pages 769-780, December.
    5. Andre Lucas & Anne Opschoor & Luca Rossini, 2021. "Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution," Tinbergen Institute Discussion Papers 21-010/III, Tinbergen Institute, revised 11 Jul 2023.
    6. Gribisch, Bastian & Hartkopf, Jan Patrick, 2023. "Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model," Journal of Econometrics, Elsevier, vol. 235(1), pages 43-64.
    7. Jan Patrick Hartkopf, 2023. "Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models," Empirical Economics, Springer, vol. 64(1), pages 393-436, January.
    8. Pawel Janus & André Lucas & Anne Opschoor & Dick J.C. van Dijk, 2014. "New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels," Tinbergen Institute Discussion Papers 14-073/IV, Tinbergen Institute, revised 19 Aug 2015.
    9. Jiayuan Zhou & Feiyu Jiang & Ke Zhu & Wai Keung Li, 2019. "Time series models for realized covariance matrices based on the matrix-F distribution," Papers 1903.12077, arXiv.org, revised Jul 2020.
    10. Shay Kee Tan & Kok Haur Ng & Jennifer So-Kuen Chan, 2022. "Predicting Returns, Volatilities and Correlations of Stock Indices Using Multivariate Conditional Autoregressive Range and Return Models," Mathematics, MDPI, vol. 11(1), pages 1-24, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Amadou Sarr & Arjun Gupta & Anwar Joarder, 2009. "Estimation of the precision matrix of multivariate Pearson type II model," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 69(1), pages 31-44, January.
    2. Li, Run-Ze & Fang, Kai-Tai, 1995. "Estimation of scale matrix of elliptically contoured matrix distributions," Statistics & Probability Letters, Elsevier, vol. 24(4), pages 289-297, September.
    3. Pui Leung & Foon Ng, 2001. "Improved Estimation of Parameter Matrices in a One-Sample and Two-Sample Problems," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 53(4), pages 769-780, December.
    4. Wen, Jun, 2018. "Estimation of two high-dimensional covariance matrices and the spectrum of their ratio," Journal of Multivariate Analysis, Elsevier, vol. 168(C), pages 1-29.
    5. Sarr, Amadou & Gupta, Arjun K., 2009. "Estimation of the precision matrix of multivariate Kotz type model," Journal of Multivariate Analysis, Elsevier, vol. 100(4), pages 742-752, April.
    6. Sheena, Yo & Takemura, Akimichi, 2011. "Admissible estimator of the eigenvalues of the variance-covariance matrix for multivariate normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 102(4), pages 801-815, April.
    7. Anwarul Joarder & S. Ahmed, 1996. "Estimation of the characteristic roots of the scale matrix," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 44(1), pages 259-267, December.
    8. Pui Leung & Wai Chan, 1998. "Estimation of the Scale Matrix and its Eigenvalues in the Wishart and the Multivariate F Distributions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 50(3), pages 523-530, September.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:aistmt:v:43:y:1991:i:1:p:157-165. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.