A note on the limiting spectral distribution of a symmetrized auto-cross covariance matrix

In Jin et al. (2014), the limiting spectral distribution (LSD) of a symmetrized auto-cross covariance matrix is derived using matrix manipulation. The goal of this note is to provide a new method to derive the LSD, which greatly simplifies the derivation in Jin et al. (2014). Moreover, as a by-product, the moment condition of the underlying random variables can be weakened from 2+δ to 2.

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Year of publication:	2015
Authors:	Bai, Zhidong ; Wang, Chen
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 96.2015, C, p. 333-340
Publisher:	Elsevier
Subject:	Auto-cross covariance \| Limiting spectral distribution \| Random matrix theory \| Stieltjes transform

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011115932