Moment approach for singular values distribution of a large auto-covariance matrix

DOI10.1214/15-AIHP693zbMath1359.15034arXiv1410.0752OpenAlexW2246613416MaRDI QIDQ503082

Qinwen Wang, Jian-feng Yao

Publication date: 11 January 2017

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.0752

zbMATH Keywords

Stieltjes transformconvergenceeigenvaluerandom matriceslargest eigenvaluesingular valuesempirical spectral distributionlimiting spectral distributionmoment methodauto-covariance matrix

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Strong limit theorems (60F15) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52)

Related Items (3)

On singular values of large dimensional lag-\(\tau\) sample auto-correlation matrices ⋮ Large sample autocovariance matrices of linear processes with heavy tails ⋮ On eigenvalue distributions of large autocovariance matrices

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