The autocovariance and cross-covariance functions naturally appear in many time series procedures (e.g. autoregression or prediction). Under assumptions, empirical versions of the autocovariance and cross-covariance are asymptotically normal with covariance structure depending on the second- and...

We give the chaos expansion of a random variable with Pareto distribution and we analyze, by using the Malliavin calculus, the convergence in the distribution of a sequence of random variable with Pareto distribution toward the standard exponential law.

The coherence of a random matrix, which is defined to be the largest magnitude of the Pearson correlation coefficients between the columns of the random matrix, is an important quantity for a wide range of applications including high-dimensional statistics and signal processing. Inspired by...