Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA

作者：Jin, Baisuo^*; Wang, Cheng; Miao, Baiqi; Lo Huang, Mong-Na

来源：Journal of Multivariate Analysis, 2009, 100(9): 2112-2125.

DOI：10.1016/j.jmva.2009.06.011

• Large-dimensional random matrices
• Limiting spectral distribution
• Vector autoregression

The existence of a limiting spectral distribution (LSD) for a large-dimensional sample covariance matrix generated by the vector autoregressive moving average (VARMA) model is established. In particular, we obtain explicit forms of the LSDs for random matrices generated by a first-order vector autoregressive (VAR(1)) model and a first-order vector moving average (VMA(1)) model, as well as random coefficients for VAR(l) and VMA(1). The parameters for these explicit forms are also estimated. Finally, simulations demonstrate that the results are effective.

• 出版日期2009-10
• 单位中山大学; 中国科学技术大学