Large sample autocovariance matrices of linear processes with heavy tails
Author:
Funder
Deutsche Forschungsgemeinschaft
Alexander von Humboldt-Stiftung
Publisher
Elsevier BV
Subject
Applied Mathematics,Modelling and Simulation,Statistics and Probability
Reference33 articles.
1. Poisson convergence for the largest eigenvalues of heavy tailed random matrices;Auffinger;Ann. Inst. Henri Poincaré Probab. Stat.,2009
2. Spectral Analysis of Large Dimensional Random Matrices;Bai,2010
3. A note on the limiting spectral distribution of a symmetrized auto-cross covariance matrix;Bai;Statist. Probab. Lett.,2015
4. On the limiting spectral distribution for a large class of symmetric random matrices with correlated entries;Banna;Stochastic Process. Appl.,2015
5. Extreme eigenvalue statistics of m-dependent heavy-tailed matrices;Basrak;Ann. Inst. Henri Poincaré Probab. Stat.,2021
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1. √2-estimation for smooth eigenvectors of matrix-valued functions;Biometrika;2023-03-15
2. Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations;The Annals of Statistics;2022-12-01
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