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On the definition, stationary distribution and second order structure of positive semidefinite Ornstein—Uhlenbeck type processes

Several important properties of positive semidefinite processes of Ornstein—Uhlenbeck type are analysed. It is shown that linear operators of the form $X\mapsto AX ...
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Automatic Positive Semidefinite HAC Covariance Matrix and GMM Estimation

Vol. 21, No. 1, ET 20th Anniversary Colloquium: Automated Inference and the Future of Econometrics (Feb., 2005), pp. 158-170 (13 pages) This paper proposes a new class of heteroskedastic and ...