A note on a Marčenko–Pastur type theorem for time series

Jianfeng Yao

Type: Article

Publication Date: 2011-09-01

Citations: 56

DOI: https://doi.org/10.1016/j.spl.2011.08.011

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arXiv (Cornell University) - View - PDF
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Statistics & Probability Letters - View

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+	Some limit theorems for the eigenvalues of a sample covariance matrix	1982	Dag Jonsson
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+	<i>Toeplitz Forms and Their Applications</i>	1958	Ulf Grenander Gábor Szegő Mark Kac
+	DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES	1967	V A Marčenko L. А. Pastur
+	LARGE SAMPLE COVARIANCE MATRICES WITHOUT INDEPENDENCE STRUCTURES IN COLUMNS	2008	Zhidong Bai Zhou Wang