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

Journal of Multivariate Analysis ◽

10.1016/j.jmva.2009.06.011 ◽

2009 ◽

Vol 100 (9) ◽

pp. 2112-2125 ◽

Author(s):

Baisuo Jin ◽

Cheng Wang ◽

Baiqi Miao ◽

Mong-Na Lo Huang

Keyword(s):

Spectral Distribution ◽

Covariance Matrices ◽

Limiting Spectral Distribution ◽

Sample Covariance Matrices ◽

Sample Covariance

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Limiting spectral distribution for a type of sample covariance matrices

Indian Journal of Pure and Applied Mathematics ◽

10.1007/s13226-013-0037-4 ◽

2013 ◽

Vol 44 (5) ◽

pp. 695-710

Author(s):

Junshan Xie

Keyword(s):

Spectral Distribution ◽

Covariance Matrices ◽

Limiting Spectral Distribution ◽

Sample Covariance Matrices ◽

Sample Covariance

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Limiting Spectral Distribution of Large Sample Covariance Matrices Associated with a Class of Stationary Processes

Journal of Theoretical Probability ◽

10.1007/s10959-013-0508-x ◽

2013 ◽

Vol 28 (2) ◽

pp. 745-783 ◽

Author(s):

Marwa Banna ◽

Florence Merlevède

Keyword(s):

Spectral Distribution ◽

Covariance Matrices ◽

Stationary Processes ◽

Large Sample ◽

Limiting Spectral Distribution ◽

Sample Covariance Matrices ◽

Sample Covariance

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The limiting spectral distribution for large sample covariance matrices with unboundedm-dependent entries

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2014.963621 ◽

2016 ◽

Vol 45 (22) ◽

pp. 6651-6662 ◽

Author(s):

Meng Wei ◽

Guangyu Yang ◽

Lingling Yang

Keyword(s):

Spectral Distribution ◽

Covariance Matrices ◽

Large Sample ◽

Limiting Spectral Distribution ◽

Sample Covariance Matrices ◽

Sample Covariance ◽

Dependent Entries

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Limiting spectral distribution of normalized sample covariance matrices with

Statistics & Probability Letters ◽

10.1016/j.spl.2012.10.014 ◽

2013 ◽

Vol 83 (2) ◽

pp. 543-550 ◽

Author(s):

Junshan Xie

Keyword(s):

Spectral Distribution ◽

Covariance Matrices ◽

Limiting Spectral Distribution ◽

Sample Covariance Matrices ◽

Sample Covariance

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No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices

10.1214/aop/1022855421 ◽

1998 ◽

Vol 26 (1) ◽

pp. 316-345 ◽

Author(s):

Z. D. Bai ◽

Jack W. Silverstein

Keyword(s):

Spectral Distribution ◽

Covariance Matrices ◽

Limiting Spectral Distribution ◽

Sample Covariance Matrices ◽

Sample Covariance

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Limiting Spectral Distribution for Large Sample Covariance Matrices withm-Dependent Elements

Communication in Statistics- Theory and Methods ◽

10.1080/03610920902807929 ◽

2010 ◽

Vol 39 (6) ◽

pp. 935-941 ◽

Author(s):

Jun Hui ◽

Guangming Pan

Keyword(s):

Spectral Distribution ◽

Covariance Matrices ◽

Large Sample ◽

Limiting Spectral Distribution ◽

Sample Covariance Matrices ◽

Sample Covariance

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On limiting spectral distribution of large sample covariance matrices by VARMA(p,q)

Journal of Time Series Analysis ◽

10.1111/j.1467-9892.2010.00712.x ◽

2011 ◽

Vol 32 (5) ◽

pp. 539-546 ◽

Author(s):

Cheng Wang ◽

Baisuo Jin ◽

Baiqi Miao

Keyword(s):

Spectral Distribution ◽

Covariance Matrices ◽

Large Sample ◽

Limiting Spectral Distribution ◽

Sample Covariance Matrices ◽

Sample Covariance

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Limiting spectral distribution of renormalized separable sample covariance matrices whenp/n→0

Journal of Multivariate Analysis ◽

10.1016/j.jmva.2013.12.015 ◽

2014 ◽

Vol 126 ◽

pp. 25-52 ◽

Author(s):

Lili Wang ◽

Debashis Paul

Keyword(s):

Spectral Distribution ◽

Covariance Matrices ◽

Limiting Spectral Distribution ◽

Sample Covariance Matrices ◽

Sample Covariance

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Weak Convergence of the Empirical Spectral Distribution of High-Dimensional Band Sample Covariance Matrices

Journal of Theoretical Probability ◽

10.1007/s10959-017-0751-7 ◽

2017 ◽

Vol 31 (3) ◽

pp. 1273-1302

Author(s):

Kamil Jurczak

Keyword(s):

Weak Convergence ◽

Spectral Distribution ◽

Covariance Matrices ◽

High Dimensional ◽

Empirical Spectral Distribution ◽

Sample Covariance Matrices ◽

Sample Covariance

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Convergence of eigenvector empirical spectral distribution of sample covariance matrices

The Annals of Statistics ◽

10.1214/19-aos1832 ◽

2020 ◽

Vol 48 (2) ◽

pp. 953-982 ◽

Author(s):

Haokai Xi ◽

Fan Yang ◽

Jun Yin

Keyword(s):

Spectral Distribution ◽

Covariance Matrices ◽

Empirical Spectral Distribution ◽

Sample Covariance Matrices ◽

Sample Covariance

Download Full-text