Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case

24 August 2016

Papers citing "Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case"

5 / 5 papers shown

Title
Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series Richard A. Davis Johannes Heiny T. Mikosch Xiao-Yi Xie 40 25 0 26 Apr 2016
Factor modeling for high-dimensional time series: Inference for the number of factors Clifford Lam Q. Yao 130 479 0 04 Jun 2012
Accuracy of the Tracy--Widom limits for the extreme eigenvalues in white Wishart matrices Zongming Ma 43 82 0 05 Mar 2012
Limit Theory for the largest eigenvalues of sample covariance matrices with heavy-tails Richard A. Davis Oliver Pfaffel R. Stelzer 67 37 0 27 Aug 2011
Universality results for largest eigenvalues of some sample covariance matrix ensembles Sandrine Péché 210 114 0 11 May 2007