Asymptotic distributions of functions of the eigenvalues of sample covariance matrix and canonical correlation matrix in multivariate time series
DOI10.1016/0047-259X(87)90083-2zbMath0618.62089MaRDI QIDQ1822435
Publication date: 1987
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
asymptotic expansioneigenvaluessignal processingjoint distributionGaussian stationary processmultivariate time seriesnon-Gaussiandiagonal matrixsample canonical correlationsasymptotic joint normality
Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Related Items (4)
Cites Work
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