On the asymptotic behavior of the eigenvalue distribution of block correlation matrices of high-dimensional time series

DOI10.1142/S2010326322500241MaRDI QIDQ5092958

Xavier Mestre, Philippe Loubaton

Publication date: 26 July 2022

Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.07226

zbMATH Keywords

Stieltjes transformlarge random matricescorrelated time seriessample block correlation matrices

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Statistics (62-XX) Random matrices (algebraic aspects) (15B52)

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