Question: Determine the upper triangular matrix P with positive diagonal for which P P = u. Estimate the covariance matrix of the asymptotic


Determine the upper triangular matrix  P with positive diagonal for which

 P  P = Σu. Estimate the covariance matrix of the asymptotic distribution of

 P under the assumption that yt is Gaussian. Test the hypothesis that the upper right-hand corner element of the underlying matrix P is zero.

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