Limiting spectral distribution of large-dimensional sample covariance matrices generated by the periodic autoregressive model

DOI10.1155/2021/9526991zbMath1477.62258OpenAlexW3193353608MaRDI QIDQ2666454

Dong Han, Jin Zou

Publication date: 22 November 2021

Published in: Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2021/9526991

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Inference from stochastic processes and spectral analysis (62M15) Measures of information, entropy (94A17)

Cites Work

• A note on a Marčenko-Pastur type theorem for time series
• Characteristic vectors of bordered matrices with infinite dimensions
• On the distribution of the roots of certain symmetric matrices
• A limit theorem for the eigenvalues of product of two random matrices
• Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA
• On limit theorem for the eigenvalues of product of two random matrices
• Maximum entropy algorithm with inexact upper entropy bound based on \(Fup\) basis functions with compact support
• Limiting spectral distribution for a class of random matrices
• Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
• On Markov-switching periodicARMAmodels
• Periodic Time Series Models
• Nonparametric estimate of spectral density functions of sample covariance matrices generated by VARMA models
• The Ehrlich--Aberth Method for the Nonsymmetric Tridiagonal Eigenvalue Problem
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