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

DOI10.1016/j.jmva.2010.06.014zbMath1202.15037OpenAlexW1973519516MaRDI QIDQ604359

Christian 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 theoryadaptive estimationlimiting spectral distributioncovariance matricescontinuous-time Gaussian processeslagged processestime lag estimation

Mathematics Subject Classification ID

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

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