Limiting spectral distribution of a new random matrix model with dependence across rows and columns

DOI10.1016/j.laa.2011.08.040zbMath1244.15026arXiv1201.4134OpenAlexW2025601829MaRDI QIDQ417413

Eckhard Schlemm, Oliver Pfaffel

Publication date: 14 May 2012

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.4134

zbMATH Keywords

Stieltjes transformeigenvalue distributionlinear processrandom matrix theorysample covariance matrixlimiting spectral distributionrandom matrix with dependent entries

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random matrices (probabilistic aspects) (60B20) Random matrices (algebraic aspects) (15B52) Analysis of variance and covariance (ANOVA) (62J10)

Related Items

Fluctuations of Marchenko-Pastur limit of random matrices with dependent entries ⋮ On the Spectrum of Sample Covariance Matrices for Time Series ⋮ Singular value distribution of dense random matrices with block Markovian dependence ⋮ Limiting spectral distribution of Gram matrices associated with functionals of \(\beta\)-mixing processes ⋮ From random matrices to long range dependence ⋮ High-dimensional linear models: a random matrix perspective

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