Tracy–Widom law for the largest eigenvalue of sample covariance matrix generated by VARMA
Keyword(s):
In this paper, we derive the Tracy–Widom law for the largest eigenvalue of sample covariance matrix generated by the vector autoregressive moving average model when the dimension is comparable to the sample size. This result is applied to make inference on the vector autoregressive moving average model. Simulations are conducted to demonstrate the finite sample performance of our inference.
A Fast Estimation Method for the Vector Autoregressive Moving Average Model with Exogenous Variables
1983 ◽
Vol 78
(384)
◽
pp. 843-849
◽
2019 ◽
Vol 9
(4)
◽
pp. 240-247
2010 ◽
Vol 30
(3)
◽
pp. 133-145
◽
2005 ◽
Vol 26
(4)
◽
pp. 543-568
◽
1989 ◽
Vol 38
(1)
◽
pp. 161
◽
1986 ◽
Vol 24
(2)
◽
pp. 99-106
◽
1997 ◽
Vol 46
(1)
◽
pp. 157-171
◽
1995 ◽
Vol 90
(429)
◽
pp. 253-267
◽
2016 ◽
pp. 417-460
◽
2002 ◽
Vol 23
(4)
◽
pp. 473-486
◽