On the Marčenko–Pastur law for linear time series
Work
Year: 2015
Type: article
Abstract: This paper is concerned with extensions of the classical Marčenko–Pastur law to time series. Specifically, $p$-dimensional linear processes are considered which are built from innovation vectors with ... more
Source: The Annals of Statistics
Authors Haoyang Liu, Alexander Aue, Debashis Paul
Cites: 45
Cited by: 61
Related to: 10
FWCI: 5.205
Citation percentile (by year/subfield): 93.69
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Sustainable Development Goal Industry, innovation and infrastructure
Open Access status: hybrid