Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails

DOI10.1016/j.spa.2013.07.005zbMath1284.60016arXiv1108.5464OpenAlexW2169413403MaRDI QIDQ2434470

Oliver Pfaffel, Robert Stelzer, Richard A. Davis

Publication date: 6 February 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.5464

zbMATH Keywords

linear processheavy-tailed distributionlargest eigenvaluerandom matrix theorysample covariance matrixrandom coefficient modellargest singular valuerandom matrix with dependent entries

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Random matrices (probabilistic aspects) (60B20) Statistics of extreme values; tail inference (62G32) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (13)

Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case ⋮ Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices ⋮ Some strong convergence theorems for eigenvalues of general sample covariance matrices ⋮ Inference in Heavy-Tailed Nonstationary Multivariate Time Series ⋮ Random matrix theory in statistics: a review ⋮ Large sample autocovariance matrices of linear processes with heavy tails ⋮ Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series ⋮ Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series ⋮ On the empirical spectral distribution for matrices with long memory and independent rows ⋮ Asymptotic behavior of eigenvalues of variance-covariance matrix of a high-dimensional heavy-tailed Lévy process ⋮ Random matrix theory for heavy-tailed time series ⋮ Extreme eigenvalue statistics of \(m\)-dependent heavy-tailed matrices ⋮ Unnamed Item

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