Strong limit of the extreme eigenvalues of a symmetrized auto-cross covariance matrix (Q894819)
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| English | Strong limit of the extreme eigenvalues of a symmetrized auto-cross covariance matrix |
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Strong limit of the extreme eigenvalues of a symmetrized auto-cross covariance matrix (English)
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24 November 2015
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auto-cross covariance matrix
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limiting spectral distribution
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strong limit
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extreme eigenvalues
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random matrix theory
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dynamic factor analysis
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Marčenko-Pastur law
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order detection
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Stieltjes transform
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0.9313269
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0.92534167
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0.8953296
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0.8908227
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0.8898081
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0.8893241
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0.8870901
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0.8836435
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0.8823936
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