On the spectrum of sample covariance matrices for time series

DOI10.1137/S0040585X97T988721zbMATH Open1396.62219OpenAlexW2886812271WikidataQ129395952 ScholiaQ129395952MaRDI QIDQ4580422FDOQ4580422

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

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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)

Cites Work

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Cited In (10)

• Unified Analysis of Periodization-Based Sampling Methods for Matérn Covariances
• Controlling the least eigenvalue of a random Gram matrix
• Spectral distribution of the sample covariance of high-dimensional time series with unit roots
• High-dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation
• Spectral analysis of sample autocovariance matrices of a class of linear time series in moderately high dimensions
• On the limiting spectral distribution of the covariance matrices of time-lagged processes
• A note on a Marčenko-Pastur type theorem for time series
• THE ESTIMATION OF SPECTRUM, INVERSE SPECTRUM AND INVERSE AUTOCOVARIANCES OF A STATIONARY TIME SERIES
• Title not available (Why is that?)
• Title not available (Why is that?)

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