On the spectrum of sample covariance matrices for time series

DOI10.1137/S0040585X97T988721MaRDI QIDQ4580422zbMATHOpenAlexWikidataFDO

Authors P. A. Yas'kov

Publication date 15 August 2018

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97t988721

zbMATH Keywords

time seriesrandom matricesspectrumample covariance matrices

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random matrices (probabilistic aspects) (60B20) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 5278585 (Why is no real title available?)
• scientific article; zbMATH DE number 1347881 (Why is no real title available?)
• scientific article; zbMATH DE number 6026126 (Why is no real title available?)
• A short proof of the Marchenko-Pastur theorem
• ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS
• Asymptotic behavior of spectral function of empirical covariance matrices
• Concentration of measure and spectra of random matrices: applications to correlation matrices, elliptical distributions and beyond
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation
• LLN for quadratic forms of long memory time series and its applications in random matrix theory
• Large sample behaviour of high dimensional autocovariance matrices
• Limiting spectral distribution of Gram matrices associated with functionals of \(\beta\)-mixing processes
• Limiting spectral distribution of a new random matrix model with dependence across rows and columns
• Necessary and sufficient conditions for the Marchenko-Pastur theorem
• On the Marčenko-Pastur law for linear time series
• On the limiting spectral distribution for a large class of symmetric random matrices with correlated entries
• Some remarks on the Dozier-Silverstein theorem for random matrices with dependent entries
• The moments of products of quadratic forms in normal variables
• Variance inequalities for quadratic forms with applications

Cited in

(12)

• LLN for quadratic forms of long memory time series and its applications in random matrix theory
• A note on a Marčenko-Pastur type theorem for time series
• Controlling the least eigenvalue of a random Gram matrix
• scientific article; zbMATH DE number 919369 (Why is no real title available?)
• Limiting spectral distribution of sample autocovariance matrices
• High-dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation
• On the limiting spectral distribution of the covariance matrices of time-lagged processes
• THE ESTIMATION OF SPECTRUM, INVERSE SPECTRUM AND INVERSE AUTOCOVARIANCES OF A STATIONARY TIME SERIES
• Spectral analysis of sample autocovariance matrices of a class of linear time series in moderately high dimensions
• Spectral distribution of the sample covariance of high-dimensional time series with unit roots
• scientific article; zbMATH DE number 906867 (Why is no real title available?)
• Unified Analysis of Periodization-Based Sampling Methods for Matérn Covariances

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