Title of article :
Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA
Author/Authors :
Jin، نويسنده , , Baisuo and Wang، نويسنده , , Cheng-Xia Miao، نويسنده , , Baiqi and Lo Huang، نويسنده , , Mong-Na، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 2009
Abstract :
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(1) and VMA(1). The parameters for these explicit forms are also estimated. Finally, simulations demonstrate that the results are effective.
Keywords :
Large-dimensional random matrices , Limiting spectral distribution , vector autoregression
Journal title :
Journal of Multivariate Analysis
Journal title :
Journal of Multivariate Analysis