On the Marčenko-Pastur law for linear time series

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

zbMATH Keywords

Stieltjes transformlinear time seriesempirical spectral distributionhigh-dimensional statisticsautocovariance matricesMarčenko-Pastur law

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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