Large Sample Covariance Matrices without Independence Structures in Columns
نویسندگان
چکیده
The limiting spectral distribution of large sample covariance matrices is derived under dependence conditions. As applications, we obtain the limiting spectral distributions of Spearman’s rank correlation matrices, sample correlation matrices, sample covariance matrices from finite populations, and sample covariance matrices from causal AR(1) models.
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تاریخ انتشار 2008