On the behavior of large empirical autocovariance matrices between the past and the future

DOI10.1142/S2010326321500210zbMath1480.15042arXiv1911.08933MaRDI QIDQ3385480

Philippe Loubaton, D. Tieplova

Publication date: 18 December 2021

Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.08933

zbMATH Keywords

Stieltjes transformautocovariance matriceslarge Gaussian random matrices

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Random matrices (algebraic aspects) (15B52)

Related Items (1)

On the asymptotic behavior of the eigenvalue distribution of block correlation matrices of high-dimensional time series

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