Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series (Q508723)
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| English | Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series |
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Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series (English)
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8 February 2017
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regular variation
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sample covariance matrix
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dependent entries
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largest eigenvalues
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trace
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point process convergence
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cluster Poisson limit
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infinite variance stable limit
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Fréchet distribution
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0.9172081351280212
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0.8972806334495544
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0.8779788017272949
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0.873484194278717
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0.8463306427001953
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