Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Estimation of the Kronecker Covariance Model by Quadratic Form   We propose a new estimator, the quadratic form estimator, of the Kronecker
product model for covariance matrices. We show that this estimator has good
properties in the large dimensional case (i.e., the cross-sectional dimension
$n$ is large relative to the sample size $T$). In particular, the quadratic
form estimator is consistent in a relative Frobenius norm sense provided
$\log^3n/T\to 0$. We obtain the limiting distributions of Lagrange multiplier
(LM) and Wald tests under both the null and local alternatives concerning the
mean vector $\mu$. Testing linear restrictions of $\mu$ is also investigated.
Finally, our methodology performs well in the finite-sample situations both
when the Kronecker product model is true, and when it is not true.

1
The categories of this paper are: cs
26
The categories of this paper are: bayes-an
25
The categories of this paper are: patt-sol
30
The categories of this paper are: q-alg
34
The categories of this paper are: chem-ph
11
The categories of this paper are: hep-lat
29
The categories of this paper are: funct-an
9
The categories of this paper are: nlin
24
The categories of this paper are: dg-ga
12
The categories of this paper are: nucl-th
4
The categories of this paper are: cond-mat
20
The categories of this paper are: acc-phys
23
The categories of this paper are: solv-int
35
The categories of this paper are: mtrl-th
31
The categories of this paper are: ao-sci
6
The categories of this paper are: astro-ph