On singular values of large dimensional lag-
We study the limiting behavior of singular values of a lag-τ sample auto-correlation matrix Rτϵ of large dimensional vector white noise process, the error term ϵ in the high-dimensional factor model. We establish the limiting spectral distribution (LSD) that characterizes the global spectrum of Rτϵ,...
| Veröffentlicht in: | Journal of multivariate analysis. - 1998. - 197(2023) vom: 16. Sept. |
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| Weitere Verfasser: | , , |
| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
2023
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| Zugriff auf das übergeordnete Werk: | Journal of multivariate analysis |
| Schlagworte: | Journal Article Auto-correlation matrix Auto-covariance matrix Largest eigenvalue Limiting spectral distribution Primary 60B20 Random matrix theory Secondary 62H25 |
| Online verfügbar |
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