Convergence of the spectrum of empirical covariance matrices for independent MRW processes

DOI10.1051/ps/2014028zbMath1331.60015OpenAlexW2126176486MaRDI QIDQ2786484

Rémi Rhodes, Vincent Vargas, Romain Allez

Publication date: 12 February 2016

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/ps/2014028

zbMATH Keywords

random matricesmultifractalsGaussian multiplicative chaosMarchenko-Pastur theorem

Mathematics Subject Classification ID

Gaussian processes (60G15) Random matrices (probabilistic aspects) (60B20) Self-similar stochastic processes (60G18) Actuarial science and mathematical finance (91G99)

Cites Work

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• FORECASTING VOLATILITY WITH THE MULTIFRACTAL RANDOM WALK MODEL
• Log-normal continuous cascade model of asset returns: aggregation properties and estimation
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES

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