Nonparametric estimate of spectral density functions of sample covariance matrices generated by VARMA models

DOI10.1080/03610926.2020.1745842OpenAlexW3018298467MaRDI QIDQ5079835

Yangchun Zhang, Jiaqi Chen, Boping Tian, B. S. Cui

Publication date: 30 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2020.1745842

zbMATH Keywords

kernel estimatorslimiting spectral distributionsample covariance matriceslarge dimensionVARMA models

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items

Limiting spectral distribution of large-dimensional sample covariance matrices generated by the periodic autoregressive model

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