Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series (Q5962607)
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scientific article; zbMATH DE number 6541537
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series |
scientific article; zbMATH DE number 6541537 |
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Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series (English)
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15 February 2016
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regular variation
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sample covariance matrix
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dependent entries
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largest eigenvalues
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trace
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point process convergence
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compound Poisson limit
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infinite variance stable limit
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Fréchet distribution
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