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• W2012251796 abstract "The existence of a limiting spectral distribution (LSD) for a large-dimensional sample covariance matrix generated by the vector autoregressive moving average (VARMA) model is established. In particular, we obtain explicit forms of the LSDs for random matrices generated by a first-order vector autoregressive (VAR(1)) model and a first-order vector moving average (VMA(1)) model, as well as random coefficients for VAR(1) and VMA(1). The parameters for these explicit forms are also estimated. Finally, simulations demonstrate that the results are effective." @default.
• W2012251796 created "2016-06-24" @default.
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• W2012251796 date "2009-10-01" @default.
• W2012251796 modified "2023-10-18" @default.
• W2012251796 title "Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA" @default.
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• W2012251796 doi "https://doi.org/10.1016/j.jmva.2009.06.011" @default.
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