Spectral distribution of the sample covariance of high-dimensional time series with unit roots
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Publication:5037813
DOI10.5705/ss.202019.0046MaRDI QIDQ5037813
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
Stieltjes transform; non-stationary time series; empirical spectral distribution; sample covariance; Feller-Pareto distribution
62-XX: Statistics
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