Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails (Q2434470)
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| English | Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails |
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Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails (English)
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6 February 2014
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random matrix theory
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heavy-tailed distribution
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random matrix with dependent entries
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largest singular value
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sample covariance matrix
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largest eigenvalue
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linear process
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random coefficient model
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0.883704662322998
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0.8751676082611084
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0.873484194278717
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0.8568037152290344
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0.8469997048377991
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