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

@inproceedings{Wang2011OnLS,
  title={On limiting spectral distribution of large sample covariance matrices by VARMA ( p , q )},
  author={Cheng Wang and Baisuo Jina and Baiqi Miaoa},
  year={2011}
}
  • Cheng Wang, Baisuo Jina, Baiqi Miaoa
  • Published 2011
We studied the limiting spectral distribution of large-dimensional sample covariance matrices of a stationary and invertible VARMA(p,q) model. Relationship of the power spectral density and limiting spectral distribution of large population dimensional covariance matrices of ARMA(p,q) is established. The equation about Stieltjes transform of large-dimensional sample covariance matrices is also derived. As applications, the classical M-P law, VAR(1) and VMA(1) can be regarded as special examples… CONTINUE READING

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