The LSD of large dimensional sample covariance matrix from AR(1)model

MaRDI QIDQ3089880zbMATH OpenFDO

Authors Jiang Hu, Guorong Hu, Xiaolei Shi

Publication date 25 August 2011

zbMATH Keywords

AR(1)limiting spectral densityrandom matrix

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

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• Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA

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