Point process convergence for the off-diagonal entries of sample covariance matrices
Work
Year: 2021
Type: article
Abstract: We study point process convergence for sequences of i.i.d. random walks. The objective is to derive asymptotic theory for the extremes of these random walks. We show convergence of the maximum random ... more
Institutions Ruhr University Bochum, University of Copenhagen
Cites: 30
Cited by: 6
Related to: 10
FWCI: 0.966
Citation percentile (by year/subfield): 69.28
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green