A note on a Marčenko-Pastur type theorem for time series
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Publication:654461
DOI10.1016/j.spl.2011.08.011zbMath1229.62129arXiv1109.1612OpenAlexW2169482141MaRDI QIDQ654461
Publication date: 28 December 2011
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1109.1612
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Exact distribution theory in statistics (62E15) Inference from stochastic processes and spectral analysis (62M15)
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Cites Work
- Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA
- Convergence to the semicircle law
- Some limit theorems for the eigenvalues of a sample covariance matrix
- The strong limits of random matrix spectra for sample matrices of independent elements
- Limiting spectral distribution for a class of random matrices
- Analysis of the limiting spectral distribution of large dimensional random matrices
- Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
- DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
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