A random matrix approach to VARMA processes

DOI10.1088/1367-2630/12/7/075036zbMath1445.60010arXiv1002.0934OpenAlexW2050036395MaRDI QIDQ5131407

Maciej A. Nowak, Andrzej Jarosz, Małgorzata Snarska, Zdzislaw Burda

Publication date: 7 November 2020

Published in: New Journal of Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1002.0934

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random matrices (probabilistic aspects) (60B20)

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Cites Work

• Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA
• Multiplicative functions on the lattice of non-crossing partitions and free convolution
• Law of addition in random matrix theory
• Free Random Variables
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