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