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Convergence of the spectrum of empirical covariance matrices for independent MRW processes

dc.contributor.authorAllez, Romain
dc.contributor.authorRhodes, Rémi
dc.contributor.authorVargas, Vincent
HAL ID: 739861
dc.date.accessioned2011-07-04T09:32:35Z
dc.date.available2011-07-04T09:32:35Z
dc.date.issued2015
dc.identifier.issn1292-8100
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6639
dc.language.isoenen
dc.subjectMRW processes
dc.subjectMarchenko Pastur type
dc.subject.ddc519en
dc.titleConvergence of the spectrum of empirical covariance matrices for independent MRW processes
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe 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.
dc.relation.isversionofjnlnameESAIM. Probability and Statistics
dc.relation.isversionofjnlvol19
dc.relation.isversionofjnldate2015
dc.relation.isversionofjnlpages327-360
dc.relation.isversionofdoihttp://dx.doi.org/10.1051/ps/2014028
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherEDP sciences
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingprintoui
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2016-12-03T14:48:15Z


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