Bailey, Ralph W.; Burridge, Peter - In: Statistics & Probability Letters 77 (2007) 6, pp. 594-597
Suppose that the Ordinary Least Squares regressors X follow a vector Ornstein-Uhlenbeck process, with growth matrix bA. The limiting sample variance matrix V is of interest. If A=kI, k[greater-or-equal, slanted]0, then [not partial differential]V/[not partial differential]b[greater-or-equal,...
