On limiting spectral distribution of large sample covariance matrices by VARMA(p,q)

DOI10.1111/J.1467-9892.2010.00712.XMaRDI QIDQ5495699zbMATH OpenOpenAlexFDO

Authors Cheng Wang, Baisuo Jin, Baiqi Miao

Publication date 6 August 2014

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2010.00712.x

zbMATH Keywords

dimensional covariance matriceslargelimiting spectral distributionpower spectral density functionvector autoregressive moving average

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Strong limit theorems (60F15) (L^p)-limit theorems (60F25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

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Cited in

(11)

• High-dimensional linear models: a random matrix perspective
• CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data
• Limiting spectral distribution of a symmetrized auto-cross covariance matrix
• The LSD of large dimensional sample covariance matrix from AR(1)model
• scientific article; zbMATH DE number 1234621 (Why is no real title available?)
• Limiting spectral distribution of large sample covariance matrices associated with a class of stationary processes
• A random matrix approach to VARMA processes
• Limiting spectral distribution of large-dimensional sample covariance matrices generated by ARMA(p,q) processes
• On eigenvalues of a high-dimensional Kendall's rank correlation matrix with dependence
• Spectrum of high-dimensional sample covariance and related matrices: a selective review
• Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA

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