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The limiting spectral distribution for large sample covariance matrices with unbounded m-dependent entries

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  • Meng Wei
  • Guangyu Yang
  • Lingling Yang

Abstract

In this note, the limiting spectral distribution for large sample covariance matrices with unbounded m-dependent structure is obtained under the third moment for the entries. This partially extends the results of Hui and Pan (Comm. Statist. Theory and Methods, 2010, 39: 935–941).

Suggested Citation

  • Meng Wei & Guangyu Yang & Lingling Yang, 2016. "The limiting spectral distribution for large sample covariance matrices with unbounded m-dependent entries," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(22), pages 6651-6662, November.
    • Handle: RePEc:taf:lstaxx:v:45:y:2016:i:22:p:6651-6662
    DOI: 10.1080/03610926.2014.963621
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    Cited by:

    1. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2018. "Estimation of the global minimum variance portfolio in high dimensions," European Journal of Operational Research, Elsevier, vol. 266(1), pages 371-390.

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