Large sample autocovariance matrices of linear processes with heavy tails

14 January 2020

Papers citing "Large sample autocovariance matrices of linear processes with heavy tails"

8 / 8 papers shown

Title
Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices Johannes Heiny T. Mikosch 45 21 0 30 Jan 2020
Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case Johannes Heiny T. Mikosch 59 24 0 24 Aug 2016
Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series Richard A. Davis Johannes Heiny T. Mikosch Xiao-Yi Xie 45 15 0 26 Apr 2016
A Note on the Limiting Spectral Distribution of a Symmetrized Auto-Cross Covariance Matrix Z. Bai Chen Wang 51 13 0 11 Mar 2014
Strong limit of the extreme eigenvalues of a symmetrized auto-cross covariance matrix Chen Wang B. Jin Z. Bai K. Nair Matthew Harding 52 11 0 08 Dec 2013
On the Marčenko-Pastur law for linear time series Haoyang Liu Alexander Aue D. Paul 61 68 0 27 Oct 2013
Factor modeling for high-dimensional time series: Inference for the number of factors Clifford Lam Q. Yao 154 484 0 04 Jun 2012
Limit Theory for the largest eigenvalues of sample covariance matrices with heavy-tails Richard A. Davis Oliver Pfaffel R. Stelzer 101 37 0 27 Aug 2011