A limit theorem for the eigenvalues of product of two random matrices
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References listed on IDEAS
- Robinson, P M, 1987. "Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form," Econometrica, Econometric Society, vol. 55(4), pages 875-891, July.
- Andrews, Donald W. K., 1988. "Chi-square diagnostic tests for econometric models : Introduction and applications," Journal of Econometrics, Elsevier, vol. 37(1), pages 135-156, January.
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- Pollard, David, 1985. "New Ways to Prove Central Limit Theorems," Econometric Theory, Cambridge University Press, vol. 1(03), pages 295-313, December.
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- Jin, Baisuo & Wang, Cheng & Miao, Baiqi & Lo Huang, Mong-Na, 2009. "Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA," Journal of Multivariate Analysis, Elsevier, vol. 100(9), pages 2112-2125, October.
- Merlevède, F. & Peligrad, M., 2016. "On the empirical spectral distribution for matrices with long memory and independent rows," Stochastic Processes and their Applications, Elsevier, vol. 126(9), pages 2734-2760.
- Olivier Ledoit & Sandrine Pï¿½chï¿½, 2009. "Eigenvectors of some large sample covariance matrices ensembles," IEW - Working Papers 407, Institute for Empirical Research in Economics - University of Zurich.
- Bai, Z.D. & Miao, Baiqi & Jin, Baisuo, 2007. "On limit theorem for the eigenvalues of product of two random matrices," Journal of Multivariate Analysis, Elsevier, vol. 98(1), pages 76-101, January.
- Robert, Christian Y. & Rosenbaum, Mathieu, 2010. "On the limiting spectral distribution of the covariance matrices of time-lagged processes," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2434-2451, November.
- Fisher, Thomas J. & Sun, Xiaoqian & Gallagher, Colin M., 2010. "A new test for sphericity of the covariance matrix for high dimensional data," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2554-2570, November.
- Claudio Heinrich & Mark Podolskij, 2014. "On spectral distribution of high dimensional covariation matrices," CREATES Research Papers 2014-54, Department of Economics and Business Economics, Aarhus University.
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KeywordsLimit theorem product of random matrices large dimensional random matrices eigenvalues distributions;
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