Eigenvalue distribution of large sample covariance matrices of linear processes
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Publication:4915078
zbMath1260.62072arXiv1201.3828MaRDI QIDQ4915078
Oliver Pfaffel, Eckhard Schlemm
Publication date: 16 April 2013
Full work available at URL: https://arxiv.org/abs/1201.3828
eigenvalue distributionlinear processrandom matrix theorysample covariance matrixlimiting spectral distributionfractionally integrated ARMA process
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random matrices (algebraic aspects) (15B52)
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