Spectral measure of empirical autocovariance matrices of high-dimensional Gaussian stationary processes
DOI10.1142/s2010326322500538zbMath1524.62412arXiv2110.08523WikidataQ114071573 ScholiaQ114071573MaRDI QIDQ6133488
Publication date: 24 July 2023
Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2110.08523
matrix orthogonal polynomialslimit spectral distributionmultivariate stationary processessmall singular valueslarge non-Hermitian matrix theoryhigh-dimensional times series analysis
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random matrices (probabilistic aspects) (60B20) Free probability and free operator algebras (46L54) Random measures (60G57) Other special orthogonal polynomials and functions (33C47) Diagnostics, and linear inference and regression (62J20)
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