On the Empirical Spectral Distribution of Lag-Covariance Matrix in Singular Spectrum Analysis
From MaRDI portal
Publication:5077730
DOI10.22080/cjms.2021.18838.1507zbMath1499.15128OpenAlexW3160730025MaRDI QIDQ5077730
Publication date: 19 May 2022
Full work available at URL: http://cjms.journals.umz.ac.ir/article_3285.html
random matrix theoryempirical spectral distributionMarčenko-Pastur distributionsingular spectrum analysislag-covariance matrix
Random matrices (probabilistic aspects) (60B20) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Time series analysis of dynamical systems (37M10)
Uses Software
Cites Work
- Unnamed Item
- Singular spectrum analysis for time series.
- On the distribution of the roots of certain symmetric matrices
- Limiting behavior of the eigenvalues of a multivariate F matrix
- The strong limits of random matrix spectra for sample matrices of independent elements
- Limiting spectral distribution for a class of random matrices
- Minute-ahead stock price forecasting based on singular spectrum analysis and support vector regression
- Random matrix theory in statistics: a review
- Spectral measure of large random Hankel, Markov and Toeplitz matrices
- Singular Spectrum Analysis with R
- On Singular Spectrum Analysis And Stepwise Time Series Reconstruction
- Large Sample Covariance Matrices and High-Dimensional Data Analysis
- DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
This page was built for publication: On the Empirical Spectral Distribution of Lag-Covariance Matrix in Singular Spectrum Analysis