The variance matrix of sample second-order moments in multivariate linear relations

We derive an expression for the variance matrix of the vector of (uncentered) sample second-order moments under multivariate linear relations and an independence assumption. An application of the result is presented.

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Year of publication:	1992
Authors:	Satorra, Albert
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 15.1992, 1, p. 63-69
Publisher:	Elsevier
Keywords:	Moment structures stochastic independence non-normality asymptotic distribution non-central chi-square goodness-of-fit statistic

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223536