Asymptotic behavior of eigenvalues of variance-covariance matrix of a high-dimensional heavy-tailed Lévy process (Q2065473): Difference between revisions
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English | Asymptotic behavior of eigenvalues of variance-covariance matrix of a high-dimensional heavy-tailed Lévy process |
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Asymptotic behavior of eigenvalues of variance-covariance matrix of a high-dimensional heavy-tailed Lévy process (English)
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7 January 2022
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regularly varying random variable
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sample variance-covariance matrix
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dependent entries
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largest eigenvalues
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vague convergence
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multivariate Lévy process
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