A note on a Marčenko-Pastur type theorem for time series
From MaRDI portal
(Redirected from Publication:654461)
Abstract: In this note we develop an extension of the Marv{c}enko-Pastur theorem to time series model with temporal correlations. The limiting spectral distribution (LSD) of the sample covariance matrix is characterised by an explicit equation for its Stieltjes transform depending on the spectral density of the time series. A numerical algorithm is then given to compute the density functions of these LSD's.
Recommendations
- On the Marčenko-Pastur law for linear time series
- Limiting spectral distribution of large sample covariance matrices associated with a class of stationary processes
- On the spectrum of sample covariance matrices for time series
- Limiting spectral distribution of sample autocovariance matrices
- Analysis of the limiting spectral distribution of large dimensional random matrices
Cites work
- scientific article; zbMATH DE number 3131354 (Why is no real title available?)
- scientific article; zbMATH DE number 5278585 (Why is no real title available?)
- Analysis of the limiting spectral distribution of large dimensional random matrices
- Convergence to the semicircle law
- DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
- Limiting spectral distribution for a class of random matrices
- Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA
- Some limit theorems for the eigenvalues of a sample covariance matrix
- Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
- The strong limits of random matrix spectra for sample matrices of independent elements
Cited in
(33)- Limiting spectral distribution of sample autocovariance matrices
- Sparse principal component analysis for high‐dimensional stationary time series
- Limiting spectral distribution for large sample covariance matrices with graph-dependent elements
- On the Marčenko-Pastur law for linear time series
- Large sample behaviour of high dimensional autocovariance matrices
- Matrix polynomial generalizations of the sample variance-covariance matrix when \(pn^{-1}\to y(0,\infty)\)
- CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data
- Spectral distribution of the sample covariance of high-dimensional time series with unit roots
- Polynomial generalizations of the sample variance-covariance matrix when \(pn^{-1}\to 0\)
- Spiked sample covariance matrices with possibly multiple bulk components
- On the limit of the spectral distribution of large-dimensional random quaternion covariance matrices
- Efficient computation of limit spectra of sample covariance matrices
- Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails
- High-dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation
- The limiting spectral distribution in terms of spectral density
- On singular values of data matrices with general independent columns
- Testing independence among a large number of high-dimensional random vectors
- Random matrix theory in statistics: a review
- scientific article; zbMATH DE number 800085 (Why is no real title available?)
- Marchenko–Pastur law with relaxed independence conditions
- On the spectrum of sample covariance matrices for time series
- Limiting spectral distribution of large-dimensional sample covariance matrices generated by the periodic autoregressive model
- High-dimensional linear models: a random matrix perspective
- LLN for quadratic forms of long memory time series and its applications in random matrix theory
- Statistical inference for complex time series data. Abstracts from the workshop held September 22--28, 2013.
- Spectrum of high-dimensional sample covariance and related matrices: a selective review
- Limiting spectral distribution of large sample covariance matrices associated with a class of stationary processes
- Bootstrapping non-stationary and irregular time series using singular spectral analysis
- On the limiting spectral distribution for a large class of symmetric random matrices with correlated entries
- Singular value distribution of dense random matrices with block Markovian dependence
- Limiting spectral distribution of Gram matrices associated with functionals of \(\beta\)-mixing processes
- On the empirical spectral distribution for matrices with long memory and independent rows
- scientific article; zbMATH DE number 4209418 (Why is no real title available?)
This page was built for publication: A note on a Marčenko-Pastur type theorem for time series
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q654461)
