A note on the limiting spectral distribution of a symmetrized auto-cross covariance matrix
Author:
Funder
NSF China
Fundamental Research Funds for the Central Universities
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
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1. Large sample autocovariance matrices of linear processes with heavy tails;Stochastic Processes and their Applications;2021-11
2. Tracy–Widom law for the largest eigenvalue of sample covariance matrix generated by VARMA;Random Matrices: Theory and Applications;2020-05-28
3. Nonparametric estimate of spectral density functions of sample covariance matrices generated by VARMA models;Communications in Statistics - Theory and Methods;2020-04-22
4. Joint Central Limit Theorem for Eigenvalue Statistics from Several Dependent Large Dimensional Sample Covariance Matrices with Application;Scandinavian Journal of Statistics;2018-05-21
5. Strong limit of the extreme eigenvalues of a symmetrized auto-cross covariance matrix;The Annals of Applied Probability;2015-12-01
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