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- Title:
Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails
- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Davis, R. A., Pfaffel, O., and Stelzer, R.
- Keywords:
- Random matrix theory; Heavy-tailed distribution; Random matrix with dependent entries; Largest singular value; Sample covariance matrix; Largest eigenvalue; Linear process; Random coefficient model
- Journal title:
- Stochastic Processes and their Applications
- Year:
- 2014
- Journal volume:
- 124
- Journal issue:
- 1
- Pages contribution:
- 18-50
- Reviewed:
- ja
- Language:
- en
- Fulltext / DOI:
- doi:10.1016/j.spa.2013.07.005
- Status:
- Postprint / reviewed
- TUM Institution:
- Lehrstuhl für Mathematische Statistik
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