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

DOI10.1111/j.1467-9892.2010.00712.xzbMath1294.62214MaRDI QIDQ5495699

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

limiting spectral distribution; large; vector autoregressive moving average; power spectral density function; dimensional covariance matrices

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60B20: Random matrices (probabilistic aspects)

62M15: Inference from stochastic processes and spectral analysis

60F15: Strong limit theorems

60F25: (L^p)-limit theorems

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