Tracy–Widom law for the largest eigenvalue of sample covariance matrix generated by VARMA

DOI10.1142/S2010326321500222zbMath1483.62155OpenAlexW3014440519MaRDI QIDQ3385481

Wang Zhou, Yangchun Zhang, Boping Tian

Publication date: 18 December 2021

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

Full work available at URL: https://doi.org/10.1142/s2010326321500222

zbMATH Keywords

largest eigenvaluesample covariance matrixVARMATracy-Window law

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random matrices (probabilistic aspects) (60B20) Eigenvalues, singular values, and eigenvectors (15A18)

Related Items (1)

Ratio-consistent estimation for long range dependent Toeplitz covariance with application to matrix data whitening

Cites Work

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