Convergence of the spectrum of empirical covariance matrices for independent MRW processes

DOI10.1051/ps/2014028zbMath1331.60015MaRDI QIDQ2786484

Rémi Rhodes, Vincent Vargas, Romain Allez

Publication date: 12 February 2016

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/ps/2014028

zbMATH Keywords

random matrices; multifractals; Gaussian multiplicative chaos; Marchenko-Pastur theorem

Mathematics Subject Classification ID

60G15: Gaussian processes

60B20: Random matrices (probabilistic aspects)

60G18: Self-similar stochastic processes

91G99: Actuarial science and mathematical finance

Cites Work

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