sample autocovariance
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scholarly journals On the behavior of large empirical autocovariance matrices between the past and the future

2020 ◽  
pp. 2150021
Author(s):  
P. Loubaton ◽  
D. Tieplova
Keyword(s):  
Asymptotic Behavior ◽  
Probability Measure ◽  
Singular Values ◽  
High Dimensional ◽  
The Past ◽  
The Future ◽  
Autocovariance Matrix ◽  
Autocovariance Matrices ◽  
Sample Autocovariance

The asymptotic behavior of the distribution of the squared singular values of the sample autocovariance matrix between the past and the future of a high-dimensional complex Gaussian uncorrelated sequence is studied. Using Gaussian tools, it is established that the distribution behaves as a deterministic probability measure whose support [Formula: see text] is characterized. It is also established that the squared singular values are almost surely located in a neighborhood of [Formula: see text].

scholarly journals Limiting spectral distribution of sample autocovariance matrices

Bernoulli ◽  
2014 ◽  
Vol 20 (3) ◽  
pp. 1234-1259 ◽  
Author(s):  
Anirban Basak ◽  
Arup Bose ◽  
Sanchayan Sen
Keyword(s):  
Spectral Distribution ◽  
Limiting Spectral Distribution ◽  
Autocovariance Matrices ◽  
Sample Autocovariance
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