Download or read book Spectral Analysis of High Dimensional Time Series written by Haoyang Liu and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the large-sample behavior of the empirical spectral distribution (ESD) of the sample covariance and symmetrized autocovariance matrices of high-dimensional linear time series and thereby extend the classical Marcenko-Pastur law.