The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model (Q2405222): Difference between revisions
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Latest revision as of 05:25, 19 April 2024
scientific article
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| English | The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model |
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The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model (English)
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21 September 2017
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dependent entries
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eigenvectors
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largest eigenvalues
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regular variation
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sample covariance matrix
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stochastic volatility
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