Asymptotic Behavior of Eigenvalues of Variance-Covariance Matrix of a High-Dimensional Heavy-Tailed Lévy Process
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s11009-020-09818-6.pdf
Reference44 articles.
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3. Amari SV, Misra RB (1997) Closed-form expressions for distribution of sum of exponential random variables. IEEE Transactions on Reliability 46:519–522
4. Auffinger A, Ben Arous G, Péché S (2009) Poisson convergence for the largest eigenvalues of heavy-tailed random matrices. Annales de l’Institut Henri Poincaré, Probabilités et Statistiques 45(3):589–610
5. Barndorff-Nielsen OE, Mikosch T, Resnick S (2001) LévyProcesses: Theory and Applications. Birkhauser̈, Boston
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