Tracy–Widom law for the largest eigenvalue of sample covariance matrix generated by VARMA

IF 0.9 4区 数学 Q4 PHYSICS, MATHEMATICAL
Boping Tian, Yangchun Zhang, Wang Zhou
{"title":"Tracy–Widom law for the largest eigenvalue of sample covariance matrix generated by VARMA","authors":"Boping Tian, Yangchun Zhang, Wang Zhou","doi":"10.1142/s2010326321500222","DOIUrl":null,"url":null,"abstract":"In this paper, we derive the Tracy–Widom law for the largest eigenvalue of sample covariance matrix generated by the vector autoregressive moving average model when the dimension is comparable to the sample size. This result is applied to make inference on the vector autoregressive moving average model. Simulations are conducted to demonstrate the finite sample performance of our inference.","PeriodicalId":54329,"journal":{"name":"Random Matrices-Theory and Applications","volume":"42 1","pages":""},"PeriodicalIF":0.9000,"publicationDate":"2020-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Random Matrices-Theory and Applications","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1142/s2010326321500222","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"PHYSICS, MATHEMATICAL","Score":null,"Total":0}
引用次数: 4

Abstract

In this paper, we derive the Tracy–Widom law for the largest eigenvalue of sample covariance matrix generated by the vector autoregressive moving average model when the dimension is comparable to the sample size. This result is applied to make inference on the vector autoregressive moving average model. Simulations are conducted to demonstrate the finite sample performance of our inference.
由VARMA生成的样本协方差矩阵的最大特征值的tracy - wisdom律
本文导出了由向量自回归移动平均模型生成的样本协方差矩阵在维数与样本量相当时的最大特征值的Tracy-Widom定律。将这一结果应用于向量自回归移动平均模型的推理。通过仿真验证了我们的推理的有限样本性能。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 求助全文
来源期刊
Random Matrices-Theory and Applications
Random Matrices-Theory and Applications Decision Sciences-Statistics, Probability and Uncertainty
CiteScore
1.90
自引率
11.10%
发文量
29
期刊介绍: Random Matrix Theory (RMT) has a long and rich history and has, especially in recent years, shown to have important applications in many diverse areas of mathematics, science, and engineering. The scope of RMT and its applications include the areas of classical analysis, probability theory, statistical analysis of big data, as well as connections to graph theory, number theory, representation theory, and many areas of mathematical physics. Applications of Random Matrix Theory continue to present themselves and new applications are welcome in this journal. Some examples are orthogonal polynomial theory, free probability, integrable systems, growth models, wireless communications, signal processing, numerical computing, complex networks, economics, statistical mechanics, and quantum theory. Special issues devoted to single topic of current interest will also be considered and published in this journal.
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信