On limiting spectral distribution of large sample covariance matrices by VARMA(p,q)

DOI10.1111/j.1467-9892.2010.00712.xzbMath1294.62214OpenAlexW1957264014MaRDI QIDQ5495699

Cheng Wang, Baisuo Jin, Baiqi Miao

Publication date: 6 August 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00712.x

zbMATH Keywords

limiting spectral distributionlargevector autoregressive moving averagepower spectral density functiondimensional covariance matrices

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random matrices (probabilistic aspects) (60B20) Inference from stochastic processes and spectral analysis (62M15) Strong limit theorems (60F15) (L^p)-limit theorems (60F25)

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