Marchenko Pastur type theorem for independent MRW processes: convergence of the empirical spectral measure
Allez, Romain; Rhodes, Rémi; Vargas, Vincent (2011), Marchenko Pastur type theorem for independent MRW processes: convergence of the empirical spectral measure. https://basepub.dauphine.fr/handle/123456789/17321
Type
Document de travail / Working paperExternal document link
https://hal.archives-ouvertes.fr/hal-00604400Date
2011Series title
Cahier de recherche CEREMADE, Université Paris-DauphinePages
44
Metadata
Show full item recordAbstract (EN)
We study the asymptotics of the spectral distribution for large empirical covariance matrices composed of independent Multifractal Random Walk processes. The asymptotic is taken as the observation lag shrinks to $0$. In this setting, we show that there exists a limiting spectral distribution whose Stieltjes transform is uniquely characterized by equations which we specify.Subjects / Keywords
Marchenko Pastur; random matrices; MRW; multifractal random walk; empirical covariance matrix; spectral measureRelated items
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