Unbounded largest eigenvalue of large sample covariance matrices: asymptotics, fluctuations and applications

DOI10.1016/j.laa.2019.05.001zbMath1418.15030arXiv1802.01874OpenAlexW2785399240WikidataQ127944995 ScholiaQ127944995MaRDI QIDQ2002709

Jamal Najim, Peng Tian, Florence Merlevède

Publication date: 12 July 2019

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.01874

zbMATH Keywords

largest eigenvaluelarge sample covariance matriceslong memory stationary processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Random matrices (probabilistic aspects) (60B20) Stationary stochastic processes (60G10) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52)

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