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On limiting spectral distribution of large sample covariance matrices by VARMA(p,q)

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  • Cheng Wang
  • Baisuo Jin
  • Baiqi Miao

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  • Cheng Wang & Baisuo Jin & Baiqi Miao, 2011. "On limiting spectral distribution of large sample covariance matrices by VARMA(p,q)," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(5), pages 539-546, September.
    • Handle: RePEc:bla:jtsera:v:32:y:2011:i:5:p:539-546
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    Cited by:

    1. Marwa Banna & Florence Merlevède, 2015. "Limiting Spectral Distribution of Large Sample Covariance Matrices Associated with a Class of Stationary Processes," Journal of Theoretical Probability, Springer, vol. 28(2), pages 745-783, June.
    2. Jamshid Namdari & Debashis Paul & Lili Wang, 2021. "High-Dimensional Linear Models: A Random Matrix Perspective," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 645-695, August.
    3. Tingting Zou & Shurong Zheng & Zhidong Bai & Jianfeng Yao & Hongtu Zhu, 2022. "CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data," Statistical Papers, Springer, vol. 63(2), pages 605-664, April.

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