On the Marčenko-Pastur law for linear time series
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Publication:2343959
DOI10.1214/14-AOS1294zbMath1312.62080arXiv1310.7270OpenAlexW3101538458MaRDI QIDQ2343959
Debashis Paul, Haoyang Liu, Alexander Aue
Publication date: 11 May 2015
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1310.7270
Stieltjes transformlinear time seriesempirical spectral distributionhigh-dimensional statisticsautocovariance matricesMarčenko-Pastur law
Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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