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A note on a Marčenko–Pastur type theorem for time series

In this note we develop an extension of the Marčenko–Pastur theorem to time series model with temporal correlations. The limiting spectral distribution (LSD) of the sample covariance matrix is characterised by an explicit equation for its Stieltjes transform depending on the spectral density of the time series. A numerical algorithm is then given to compute the density functions of these LSD’s.
Year of publication:
2012
Authors: Yao, Jianfeng
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 1, p. 22-28
Publisher: Elsevier
Subject: High-dimensional time series | High-dimensional sample covariance matrices | Marčenko–Pastur distributions
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10011040045
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