Spectral measure of empirical autocovariance matrices of high-dimensional Gaussian stationary processes (Q6133488)
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scientific article; zbMATH DE number 7716198
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| English | Spectral measure of empirical autocovariance matrices of high-dimensional Gaussian stationary processes |
scientific article; zbMATH DE number 7716198 |
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Spectral measure of empirical autocovariance matrices of high-dimensional Gaussian stationary processes (English)
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24 July 2023
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high-dimensional times series analysis
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large non-Hermitian matrix theory
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limit spectral distribution
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matrix orthogonal polynomials
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multivariate stationary processes
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small singular values
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0.83371901512146
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0.7985267043113708
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0.7972679734230042
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0.7792043089866638
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0.7734008431434631
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