On singular values of large dimensional lag-\(\tau\) sample auto-correlation matrices

DOI10.1016/J.JMVA.2023.105205arXiv2202.12526OpenAlexW4379012531MaRDI QIDQ6168126

Jiaxin Qiu, Zhanting Long, Zeng Li, Ruitao Lin

Publication date: 8 August 2023

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2202.12526

zbMATH Keywords

largest eigenvaluerandom matrix theorylimiting spectral distributionauto-covariance matrixauto-correlation matrix

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Random matrices (probabilistic aspects) (60B20) Multivariate analysis (62Hxx)

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