On the limiting spectral distribution of the covariance matrices of time-lagged processes

DOI10.1016/J.JMVA.2010.06.014zbMATH Open1202.15037OpenAlexW1973519516MaRDI QIDQ604359FDOQ604359

C. Y. Robert, Mathieu Rosenbaum

Publication date: 10 November 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2010.06.014

zbMATH Keywords

eigenvaluesrandom matrix theorycovariance matricesadaptive estimationlimiting spectral distributioncontinuous-time Gaussian processeslagged processestime lag estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Estimation in multivariate analysis (62H12) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

Cites Work

• Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
• Regularized estimation of large covariance matrices
• Title not available (Why is that?)
• Title not available (Why is that?)
• A limit theorem for the eigenvalues of product of two random matrices
• CLT for linear spectral statistics of large-dimensional sample covariance matrices.
• The Limiting Eigenvalue Distribution of a Multivariate F Matrix
• Estimation of the lead-lag parameter from non-synchronous data

Cited In (10)

• Inference for time-varying lead-lag relationships from ultra-high-frequency data
• Estimation of the lead-lag parameter between two stochastic processes driven by fractional Brownian motions
• Spectral tail processes and max-stable approximations of multivariate regularly varying time series
• Convergence of the spectrum of empirical covariance matrices for independent MRW processes
• Wavelet-Based Methods for High-Frequency Lead-Lag Analysis
• No arbitrage and lead-lag relationships
• Limiting spectral distribution of large-dimensional sample covariance matrices generated by the periodic autoregressive model
• Estimation of the lead-lag parameter from non-synchronous data
• On the Asymptotic Structure of Brownian Motions with a Small Lead-Lag Effect
• Eigenvalues distribution limit of covariance matrices with AR processes entries

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