Tracy-Widom law for the largest eigenvalue of sample covariance matrix generated by VARMA (Q3385481)
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scientific article; zbMATH DE number 7449645
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| English | Tracy-Widom law for the largest eigenvalue of sample covariance matrix generated by VARMA |
scientific article; zbMATH DE number 7449645 |
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Tracy–Widom law for the largest eigenvalue of sample covariance matrix generated by VARMA (English)
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18 December 2021
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largest eigenvalue
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VARMA
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sample covariance matrix
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Tracy-Window law
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0.8495795726776123
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0.8320928812026978
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0.8311331272125244
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0.8170183897018433
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0.8131223320960999
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