Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails

Titel:: Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails
Dokumenttyp:: Zeitschriftenaufsatz
Autor(en):: Davis, R. A., Pfaffel, O., and Stelzer, R.
Stichworte:: Random matrix theory; Heavy-tailed distribution; Random matrix with dependent entries; Largest singular value; Sample covariance matrix; Largest eigenvalue; Linear process; Random coefficient model
Zeitschriftentitel:: Stochastic Processes and their Applications
Jahr:: 2014
Band / Volume:: 124
Heft / Issue:: 1
Seitenangaben Beitrag:: 18-50
Reviewed:: ja
Sprache:: en
Volltext / DOI:: doi:10.1016/j.spa.2013.07.005
Status:: Postprint / reviewed
TUM Einrichtung:: Lehrstuhl für Mathematische Statistik
BibTeX

Vorkommen: