Limiting spectral distribution of sample autocovariance matrices

DOI10.3150/13-BEJ520zbMath1327.60023arXiv1108.3147OpenAlexW3106046711MaRDI QIDQ396002

Anirban Basak, Arup Bose, Sanchayan Sen

Publication date: 8 August 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.3147

zbMATH Keywords

random matriceslinear processToeplitz matrixautocovariance functionstationary processspectral distributionbanded and tapered autocovariance matrixsample autocovariance matrix

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random matrices (probabilistic aspects) (60B20) Stationary stochastic processes (60G10)

Related Items (5)

Nonparametric estimate of spectral density functions of sample covariance matrices generated by VARMA models ⋮ Limiting spectral distribution of sample autocovariance matrices ⋮ Spectral Convergence of Large Block-Hankel Gaussian Random Matrices ⋮ On the almost sure location of the singular values of certain Gaussian block-Hankel large random matrices ⋮ Tracy–Widom law for the largest eigenvalue of sample covariance matrix generated by VARMA

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