Random matrix theory for heavy-tailed time series

DOI10.1007/s10958-019-04191-3zbMath1416.15029OpenAlexW2782859942MaRDI QIDQ2314507

Johannes Heiny

Publication date: 23 July 2019

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-019-04191-3

zbMATH Keywords

covariance matricesasymptotic theoriesheavy-tailed entries

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Random matrices (algebraic aspects) (15B52)

Related Items

Local tail statistics of heavy-tailed random matrix ensembles with unitary invariance

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