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5. On singular value distribution of large-dimensional autocovariance matrices

On singular value distribution of large-dimensional autocovariance matrices

来源 :上海交通大学 | 被引量 : 0次 | 上传用户：franklee19851126

【摘 要】

：

Let(εj)j≥0 be a sequence of independent p-dimensional random vectors and τ≥ 1 a given integer.From a sample ε1,...,εT+τ of the sequence,the so-called lag- auto-covariance matrix is C τ = T-1∑Tj =1

【作 者】

：

Jianfeng Yao Zeng Li Guangming Pan 

【机 构】

：

Department of Statistics and Actuarial Science,The University of Hong Kong

【出 处】

：

上海交通大学

【发表日期】

：

2016年4期

【关键词】

：

Random matrix theory Large-dimensional auto-covariance matrix Limiting spectral 

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　　Let(εj)j≥0 be a sequence of independent p-dimensional random vectors and τ≥ 1 a given integer.From a sample ε1,...,εT+τ of the sequence,the so-called lag- auto-covariance matrix is C τ = T-1∑Tj =1 εj+τεTj.

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