• français
    • English
  • English 
    • français
    • English
  • Login
JavaScript is disabled for your browser. Some features of this site may not work without it.
BIRD Home

Browse

This CollectionBy Issue DateAuthorsTitlesSubjectsJournals BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesSubjectsJournals

My Account

Login

Statistics

View Usage Statistics

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

Thumbnail
Date
2015
Dewey
Probabilités et mathématiques appliquées
Sujet
MRW processes; Marchenko Pastur type
Journal issue
ESAIM. Probability and Statistics
Volume
19
Publication date
2015
Article pages
327-360
Publisher
EDP sciences
DOI
http://dx.doi.org/10.1051/ps/2014028
URI
https://basepub.dauphine.fr/handle/123456789/6639
Collections
  • CEREMADE : Publications
Metadata
Show full item record
Author
Allez, Romain
Rhodes, Rémi
Vargas, Vincent
Type
Article accepté pour publication ou publié
Abstract (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.

  • Accueil Bibliothèque
  • Site de l'Université Paris-Dauphine
  • Contact
SCD Paris Dauphine - Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16

 Content on this site is licensed under a Creative Commons 2.0 France (CC BY-NC-ND 2.0) license.