Joint CLT for top eigenvalues of sample covariance matrices of separable high dimensional long memory processes
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Publication:5092968
DOI10.1142/S2010326322500320zbMath1493.15117arXiv1906.00909OpenAlexW2947375302MaRDI QIDQ5092968
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/1906.00909
Stationary stochastic processes (60G10) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Integral equations of the convolution type (Abel, Picard, Toeplitz and Wiener-Hopf type) (45E10) Toeplitz, Cauchy, and related matrices (15B05)
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