On the Empirical Spectral Distribution of Lag-Covariance Matrix in Singular Spectrum Analysis

DOI10.22080/cjms.2021.18838.1507zbMath1499.15128OpenAlexW3160730025MaRDI QIDQ5077730

H. Rahmatan, Mahdi Kalantari

Publication date: 19 May 2022

Full work available at URL: http://cjms.journals.umz.ac.ir/article_3285.html

zbMATH Keywords

random matrix theoryempirical spectral distributionMarčenko-Pastur distributionsingular spectrum analysislag-covariance matrix

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Time series analysis of dynamical systems (37M10)

Uses Software

• Rmtstat
• CaterpillarSSA

Cites Work

• Unnamed Item
• Singular spectrum analysis for time series.
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• Limiting spectral distribution for a class of random matrices
• Minute-ahead stock price forecasting based on singular spectrum analysis and support vector regression
• Random matrix theory in statistics: a review
• Spectral measure of large random Hankel, Markov and Toeplitz matrices
• Singular Spectrum Analysis with R
• On Singular Spectrum Analysis And Stepwise Time Series Reconstruction
• Large Sample Covariance Matrices and High-Dimensional Data Analysis
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES

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