Spectral Analysis of High Dimensional Time Series
Author | : Haoyang Liu |
Publisher | : |
Total Pages | : |
Release | : 2013 |
ISBN-10 | : 1303792265 |
ISBN-13 | : 9781303792267 |
Rating | : 4/5 (65 Downloads) |
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.