Limiting spectral distribution of a new random matrix model with dependence across rows and columns
From MaRDI portal
Publication:417413
DOI10.1016/j.laa.2011.08.040zbMath1244.15026arXiv1201.4134MaRDI 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
Stieltjes transform; eigenvalue distribution; linear process; random matrix theory; sample covariance matrix; limiting spectral distribution; random matrix with dependent entries
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60B20: Random matrices (probabilistic aspects)
15B52: Random matrices (algebraic aspects)
62J10: Analysis of variance and covariance (ANOVA)
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