Tracy-Widom law for the largest eigenvalue of sample covariance matrix generated by VARMA

DOI10.1142/S2010326321500222zbMATH Open1483.62155OpenAlexW3014440519MaRDI QIDQ3385481FDOQ3385481

Wang Zhou, Yangchun Zhang, Boping Tian

Publication date: 18 December 2021

Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s2010326321500222

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zbMATH Keywords

largest eigenvaluesample covariance matrixVARMATracy-Window law

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (probabilistic aspects) (60B20)

Cites Work

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• On singular values distribution of a matrix large auto-covariance in the ultra-dimensional regime
• Tracy-Widom distribution for the largest eigenvalue of real sample covariance matrices with general population
• Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA
• Limiting spectral distribution of sample autocovariance matrices
• Identifying the number of factors from singular values of a large sample auto-covariance matrix
• A note on the limiting spectral distribution of a symmetrized auto-cross covariance matrix
• CLT for largest eigenvalues and unit root testing for high-dimensional nonstationary time series
• Edge universality of separable covariance matrices

Cited In (3)

• Sampling without replacement from a high-dimensional finite population
• Tracy-Widom at each edge of real covariance and MANOVA estimators
• Ratio-consistent estimation for long range dependent Toeplitz covariance with application to matrix data whitening

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