Free deterministic equivalent Z-scores of compound Wishart models: A goodness of fit test of 2D ARMA models
From MaRDI portal
Publication:5197371
DOI10.1142/S2010326319500060zbMath1458.46053arXiv1710.09497OpenAlexW2963360931MaRDI QIDQ5197371
Publication date: 23 September 2019
Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1710.09497
free probabilitycompound Wishart matricessecond-order freeness2D ARMA model2D convolutionfluctuation of matricesfree deterministic equivalents
Hypothesis testing in multivariate analysis (62H15) Random matrices (probabilistic aspects) (60B20) Free probability and free operator algebras (46L54)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Genus expansion for real Wishart matrices
- Second order freeness and fluctuations of random matrices. II: Unitary random matrices
- Modeling by shortest data description
- Limit laws for random matrices and free products
- Rigorous mean-field model for coherent-potential approximation: Anderson model with free random variables.
- Second order freeness and fluctuations of random matrices. III: Higher order freeness and free cumulants
- Fluctuations of Marchenko-Pastur limit of random matrices with dependent entries
- Random matrix theory in statistics: a review
- Second order freeness and fluctuations of random matrices. I: Gaussian and Wishart matrices and cyclic Fock spaces
- A rank test based approach to order estimation. I. 2-D AR models application
- Real Second-Order Freeness and the Asymptotic Real Second-Order Freeness of Several Real Matrix Models
- FREE DETERMINISTIC EQUIVALENTS, RECTANGULAR RANDOM MATRIX MODELS, AND OPERATOR-VALUED FREE PROBABILITY THEORY
- Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case
- Free Random Variables
- Spectra of large time-lagged correlation matrices from random matrix theory
- Lectures on the Combinatorics of Free Probability
- Combinatorial theory of the free product with amalgamation and operator-valued free probability theory
- A random matrix approach to VARMA processes
- A Deterministic Equivalent for the Analysis of Correlated MIMO Multiple Access Channels
- DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
- A new look at the statistical model identification