On the Spectrum of Sample Covariance Matrices for Time Series

DOI10.1137/S0040585X97T988721zbMath1396.62219OpenAlexW2886812271WikidataQ129395952 ScholiaQ129395952MaRDI QIDQ4580422

P. A. Yas'kov

Publication date: 15 August 2018

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97t988721

zbMATH Keywords

time seriesrandom matricesspectrumample covariance matrices

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random matrices (probabilistic aspects) (60B20) Inference from stochastic processes and spectral analysis (62M15)

Related Items (1)

Controlling the least eigenvalue of a random Gram matrix

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