Joint convergence of sample autocovariance matrices when p/n 0 with application
asymptotic normalityestimationlimiting spectral distributionmoving average processsample autocovariance matricestesting of hypothesistrace
Time series analysis of dynamical systems (37M10) Spectral theory; eigenvalue problems on manifolds (58C40) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)
This paper is about Limiting Spectral Distribution (LSD). The main result of this article is that, under some assumptions, the trace of any polynomial in \(\left\lbrace \hat{\Gamma}_{u}, \hat{\Gamma}_{u}^{*}, u \geq 0\right\rbrace\), where \(\hat{\Gamma}_{u}\) is the \(u\)-th order sample autocovariance matrix, is asymptotically normal. In addition, the results are illustrated through several examples (13 in total) in the context of time series, focusing on the inference (hypotheses tests and estimation of the unknown order) of high-dimensional MA processes.
- Strong convergence of ESD for the generalized sample covariance matrices when p/n 0
- On the asymptotic properties of multivariate sample autocovariances
- The rate of convergence of spectra of sample covariance matrices
- A note on the convergence rate of the spectral distributions of large sample covariance matrices
- Convergence of the largest eigenvalue of normalized sample covariance matrices when \(p\) and \(n\) both tend to infinity with their ratio converging to zero
- Convergence Rates of Spectral Distributions of Large Sample Covariance Matrices
- Some strong convergence theorems for eigenvalues of general sample covariance matrices
- Limiting spectral distribution of sample autocovariance matrices
- Convergence of eigenvector empirical spectral distribution of sample covariance matrices
- Central limit theorems for linear spectral statistics of large dimensional \(F\)-matrices
- CLT for linear spectral statistics of large-dimensional sample covariance matrices.
- CLT for linear spectral statistics of Wigner matrices
- Convergence to the semicircle law
- DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
- Eigenvalue distribution of large sample covariance matrices of linear processes
- Estimation of autocovariance matrices for infinite dimensional vector linear process
- Joint convergence of sample autocovariance matrices when \(p/n\to 0\) with application
- Large sample behaviour of high dimensional autocovariance matrices
- Lectures on the Combinatorics of Free Probability
- Linear functionals of eigenvalues of random matrices
- On the Marčenko-Pastur law for linear time series
- Polynomial generalizations of the sample variance-covariance matrix when \(pn^{-1}\to 0\)
- Portmanteau test and simultaneous inference for serial covariances
- Regularized estimation in sparse high-dimensional time series models
- Spectral analysis of large dimensional random matrices
- Spectral analysis of sample autocovariance matrices of a class of linear time series in moderately high dimensions
- Spectral statistics of large dimensional Spearman's rank correlation matrix and its application
- Substitution principle for CLT of linear spectral statistics of high-dimensional sample covariance matrices with applications to hypothesis testing
- TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS
- Testing linear hypotheses in high-dimensional regressions
- The Multivariate Portmanteau Statistic
- Time series: Theory and methods
- Convergence of the clipped sample autocorrelation and autocovariance
- High-dimensional linear models: a random matrix perspective
- Smallest singular value and limit eigenvalue distribution of a class of non-Hermitian random matrices with statistical application
- Joint convergence of sample autocovariance matrices when \(p/n\to 0\) with application
- A note on the limiting spectral distribution of a symmetrized auto-cross covariance matrix
- Limiting spectral distribution of a symmetrized auto-cross covariance matrix
- Large sample behaviour of high dimensional autocovariance matrices
- Spectral measure of empirical autocovariance matrices of high-dimensional Gaussian stationary processes
- Spectrum of high-dimensional sample covariance and related matrices: a selective review
- A central limit theorem for moderately high-dimensional Kendall's cross-correlation matrices with applications to independence testing
- Principal components in linear mixed models with general bulk
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