Limiting spectral distribution of large-dimensional sample covariance matrices generated by the periodic autoregressive model (Q2666454)
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English | Limiting spectral distribution of large-dimensional sample covariance matrices generated by the periodic autoregressive model |
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Limiting spectral distribution of large-dimensional sample covariance matrices generated by the periodic autoregressive model (English)
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22 November 2021
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Summary: The explicit representation for the limiting spectral moments of sample covariance matrices generated by the periodic autoregressive model (PAR) is established. We propose to use the moment-constrained maximum entropy method to estimate the spectral density function. The experiments show that the maximum entropy spectral density function curve obtained based on the fourth-order limiting spectral moment can match histograms of the eigenvalues of the covariance matrices very well.
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