Nonparametric estimate of spectral density functions of sample covariance matrices generated by VARMA models
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Publication:5079835
DOI10.1080/03610926.2020.1745842OpenAlexW3018298467MaRDI QIDQ5079835
Yangchun Zhang, Jiaqi Chen, Boping Tian, B. S. Cui
Publication date: 30 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2020.1745842
kernel estimatorslimiting spectral distributionsample covariance matriceslarge dimensionVARMA models
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