Spectral distribution of the sample covariance of high-dimensional time series with unit roots

DOI10.5705/ss.202019.0046OpenAlexW3175226528MaRDI QIDQ5037813

Alexei Onatski, Chen Wang

Publication date: 4 March 2022

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.202019.0046

zbMATH Keywords

Stieltjes transformnon-stationary time seriesempirical spectral distributionsample covarianceFeller-Pareto distribution

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Analysis of the limiting spectral distribution of large dimensional random matrices
• Eigenvalue distribution of large sample covariance matrices of linear processes
• Factor Model Forecasts of Exchange Rates
• A random matrix approach to VARMA processes
• Spurious Factor Analysis

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