Davis, Richard A.; Pfaffel, Oliver; Stelzer, Robert - In: Stochastic Processes and their Applications 124 (2014) 1, pp. 18-50
We study the joint limit distribution of the k largest eigenvalues of a p×p sample covariance matrix XXT based on a large p×n matrix X. The rows of X are given by independent copies of a linear process, Xit=∑jcjZi,t−j, with regularly varying noise (Zit) with tail index α∈(0,4). It is...
