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

DOI10.1142/S2010326321500222MaRDI QIDQ3385481zbMATH OpenOpenAlexFDO

Authors Boping Tian, Yangchun Zhang, Wang Zhou

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

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)

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Cites work

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• CLT for largest eigenvalues and unit root testing for high-dimensional nonstationary time series
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• Identifying the number of factors from singular values of a large sample auto-covariance matrix
• Large sample behaviour of high dimensional autocovariance matrices
• Limiting spectral distribution of a symmetrized auto-cross covariance matrix
• Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA
• Limiting spectral distribution of sample autocovariance matrices
• On singular values distribution of a matrix large auto-covariance in the ultra-dimensional regime
• On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
• Spectral analysis of large dimensional random matrices
• The Multivariate Portmanteau Statistic
• Tracy-Widom distribution for the largest eigenvalue of real sample covariance matrices with general population
• Universality for the largest eigenvalue of sample covariance matrices with general population

Cited in

(5)

• The Tracy-Widom law for the largest eigenvalue of F type matrices
• Tracy-Widom law for the extreme eigenvalues of sample correlation matrices
• 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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