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hal.structure.identifier
dc.contributor.authorAllez, Romain
hal.structure.identifier
dc.contributor.authorRhodes, Rémi
hal.structure.identifier
dc.contributor.authorVargas, Vincent
HAL ID: 739861
dc.date.accessioned2018-01-12T18:43:32Z
dc.date.available2018-01-12T18:43:32Z
dc.date.issued2011
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17321
dc.language.isoenen
dc.subjectMarchenko Pasturen
dc.subjectrandom matricesen
dc.subjectMRWen
dc.subjectmultifractal random walken
dc.subjectempirical covariance matrixen
dc.subjectspectral measureen
dc.subject.ddc519en
dc.titleMarchenko Pastur type theorem for independent MRW processes: convergence of the empirical spectral measureen
dc.typeDocument de travail / Working paper
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.en
dc.identifier.citationpages44en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-00604400en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2017-12-22T17:22:44Z
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