Unbounded largest eigenvalue of large sample covariance matrices: asymptotics, fluctuations and applications (Q2002709)

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Unbounded largest eigenvalue of large sample covariance matrices: asymptotics, fluctuations and applications (English)

Linear Algebra and its Applications

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publication date

12 July 2019

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full work available at URL

https://arxiv.org/abs/1802.01874

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zbMATH Keywords

large sample covariance matrices

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largest eigenvalue

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long memory stationary processes

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MaRDI publication profile

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cites work

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Limiting spectral distribution for a class of random matrices

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On the limit of the largest eigenvalue of the large dimensional sample covariance matrix

Unbounded largest eigenvalue of large sample covariance matrices: asymptotics, fluctuations and applications (Q2002709)

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