Asymptotic behavior of eigenvalues of variance-covariance matrix of a high-dimensional heavy-tailed Lévy process (Q2065473): Difference between revisions

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Latest revision as of 16:06, 27 July 2024

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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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