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

DOI10.1016/J.JMVA.2010.06.014MaRDI QIDQ604359zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

• scientific article; zbMATH DE number 3244317 (Why is no real title available?)
• scientific article; zbMATH DE number 3256930 (Why is no real title available?)
• A limit theorem for the eigenvalues of product of two random matrices
• CLT for linear spectral statistics of large-dimensional sample covariance matrices.
• Estimation of the lead-lag parameter from non-synchronous data
• Regularized estimation of large covariance matrices
• Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
• The Limiting Eigenvalue Distribution of a Multivariate F Matrix

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
• Wavelet-based methods for high-frequency lead-lag analysis
• On the asymptotic structure of Brownian motions with a small lead-lag effect
• Convergence of the spectrum of empirical covariance matrices for independent MRW processes
• 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
• Eigenvalues distribution limit of covariance matrices with AR processes entries

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