On the Spectral Density of Large Sample Covariance Matrices with Markov Dependent Columns

被引：0
|
作者：
Friesen, O. [1 ]
Loewe, M. [1 ]
机构：
[1] Univ Munster, Fachbereich Math, D-48149 Munster, Germany
来源：
MARKOV PROCESSES AND RELATED FIELDS | 2014年 / 20卷 / 02期
关键词：
dependent entries; Markov chains; Pastur-Marcenko law; random matrix; sample covariance matrix; PRODUCT;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We investigate the spectral distribution of large sample covariance matrices with independent columns and entries in the columns that stem from Markov chains. We characterize the limiting spectral densities by their moments. Correspondingly, the proof is based on a moment method.
引用
收藏
页码：349 / 374
页数：26
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