Asymptotic behavior of eigenvalues of variance-covariance matrix of a high-dimensional heavy-tailed Lévy process

DOI10.1007/s11009-020-09818-6zbMath1478.60144OpenAlexW3081571924MaRDI QIDQ2065473

Mahbanoo Tata, Rafał Kulik, Mohsen Rezapour, Asma Teimouri, Narayanaswamy Balakrishnan

Publication date: 7 January 2022

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-020-09818-6

zbMATH Keywords

dependent entrieslargest eigenvaluesvague convergencemultivariate Lévy processregularly varying random variablesample variance-covariance matrix

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70)

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