Limiting spectral distribution of large sample covariance matrices associated with a class of stationary processes

DOI10.1007/S10959-013-0508-XzbMATH Open1325.60043OpenAlexW2052613069MaRDI QIDQ495709FDOQ495709

Publication date: 15 September 2015

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-013-0508-x

Recommendations

Eigenvalue distribution of large sample covariance matrices of linear processes
Limiting spectral distribution for large sample covariance matrices with \(m\)-dependent elements
Limiting spectral distribution for large sample covariance matrices with graph-dependent elements
scientific article
On the spectral density of large sample covariance matrices with Markov dependent columns

weak dependence stationary processes limiting spectral distribution sample covariance matrices Lindeberg method Marchenko-Pastur distributions

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Stationary stochastic processes (60G10) Limit theorems in probability theory (60F99)

Cites Work

Matrix Analysis
Siegel's formula via Stein's identities
Spectral analysis of large dimensional random matrices
Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
Title not available (Why is that?)
Nonlinear system theory: Another look at dependence
Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Limiting spectral distribution for a class of random matrices
Interactions between compressed sensing random matrices and high dimensional geometry
STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
Title not available (Why is that?)
Asymptotic theory for stationary processes
Central limit theorem for stationary linear processes
Recent advances in invariance principles for stationary sequences
On the empirical distribution of eigenvalues of a class of large dimensional random matrices
Eigenvalue distribution of large sample covariance matrices of linear processes
A note on a Marčenko-Pastur type theorem for time series
A generalization of the Lindeberg principle
A central limit theorem for triangular arrays of weakly dependent random variables, with applications in statistics
Strong convergence of the empirical distribution of eigenvalues of sample covariance matrices with a perturbation matrix
On limiting spectral distribution of large sample covariance matrices by VARMA(p,q)

Cited In (20)

Nonparametric estimate of spectral density functions of sample covariance matrices generated by VARMA models
Limit theory for the sample covariance and correlation matrix functions of a class of multivariate linear processes
Title not available (Why is that?)
CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data
Asymptotic normality in Banach spaces via Lindeberg method
High-dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation
Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
On the spectral density of large sample covariance matrices with Markov dependent columns
Large sample properties of spectral estimators for a class of stationary nonlinear processes
Central limit theorem for linear eigenvalue statistics for a tensor product version of sample covariance matrices
Title not available (Why is that?)
Limiting spectral distribution of large-dimensional sample covariance matrices generated by the periodic autoregressive model
High-dimensional linear models: a random matrix perspective
On limiting spectral distribution of large sample covariance matrices by VARMA(p,q)
Operator-valued matrices with free or exchangeable entries
Singular value distribution of dense random matrices with block Markovian dependence
On the limiting spectral distribution for a large class of symmetric random matrices with correlated entries
Large sample correlation matrices: a comparison theorem and its applications
On the empirical spectral distribution for matrices with long memory and independent rows
Eigenvalues distribution limit of covariance matrices with AR processes entries

This page was built for publication: Limiting spectral distribution of large sample covariance matrices associated with a class of stationary processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q495709)