Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA

DOI10.1016/j.jmva.2009.06.011zbMath1173.60313OpenAlexW2012251796MaRDI QIDQ842930

Mong-Na Lo Huang, Baiqi Miao, Baisuo Jin, Cheng Wang

Publication date: 28 September 2009

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2009.06.011

zbMATH Keywords

limiting spectral distributionvector autoregressionlarge-dimensional random matrices

Mathematics Subject Classification ID

Multivariate analysis (62H99) Strong limit theorems (60F15)

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