The Empirical Distribution of the Singular Values of a Random Hankel Matrix-Reference-Cited by-同舟云学术

The Empirical Distribution of the Singular Values of a Random Hankel Matrix

Published:2015-06-29 Issue:03 Volume:14 Page:1550027
ISSN:0219-4775
Container-title:Fluctuation and Noise Letters
language:en
Short-container-title:Fluct. Noise Lett.

Author:

Ghodsi Mansi¹,Alharbi Nader¹²,Hassani Hossein³

Affiliation:

1. The Statistical Research Centre, The Business School, Bournemouth University, UK

2. King Saud bin Abdulaziz University For Health Sciences, Ar Rimayah, Riyadh 14611, Saudi Arabia

3. Institute for International Energy Studies (IIES), 65, Sayeh St., Vali-e-Asr Ave., Tehran 1967743 711, Iran

Abstract

The empirical distribution of the eigenvalues of the matrix HHT divided by its trace is considered, where H is a Hankel random matrix. The normal distribution with different parameters are considered and the effect of scale and shape parameters are evaluated. The correlation among eigenvalues are assessed using parametric and non-parametric association criteria.

Publisher

World Scientific Pub Co Pte Lt

Subject

General Physics and Astronomy,General Mathematics

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219477515500273

Reference24 articles.

1. Predicting inflation dynamics with singular spectrum analysis

2. Forecasting European industrial production with singular spectrum analysis

3. An adaptive singular spectrum analysis approach to murmur detection from heart sounds

4. Hankel Operators and Their Applications

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