A note on the limiting spectral distribution of a symmetrized auto-cross covariance matrix
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DOI: 10.1016/j.spl.2014.10.002
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Cited by:
- Heiny, Johannes & Mikosch, Thomas, 2021. "Large sample autocovariance matrices of linear processes with heavy tails," Stochastic Processes and their Applications, Elsevier, vol. 141(C), pages 344-375.
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Keywords
Auto-cross covariance; Limiting spectral distribution; Random matrix theory; Stieltjes transform;All these keywords.
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