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A technical note on divergence of the Wald statistic

Authors :
Dufour, Jean-Marie
Renault, Eric
Zinde-Walsh, Victoria
Publication Year :
2019

Abstract

The Wald test statistic has been shown to diverge (Dufour et al, 2013, 2017) under some conditions. This note links the divergence to eigenvalues of a polynomial matrix and establishes the divergence rate.

Subjects

Subjects :
Mathematics - Statistics Theory
62F03

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.1906.05951
Document Type :
Working Paper

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