Tracy-Widom law for the largest eigenvalue of sample covariance matrix generated by VARMA

Boping Tian; Yangchun Zhang; Wang Zhou

doi:10.1142/S2010326321500222

Tracy-Widom law for the largest eigenvalue of sample covariance matrix generated by VARMA

Boping Tian
, Yangchun Zhang^*
, Wang Zhou

^*Corresponding author for this work

School of Mathematics, Harbin Institute of Technology
National University of Singapore

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

In this paper, we derive the Tracy-Widom law for the largest eigenvalue of sample covariance matrix generated by the vector autoregressive moving average model when the dimension is comparable to the sample size. This result is applied to make inference on the vector autoregressive moving average model. Simulations are conducted to demonstrate the finite sample performance of our inference.

Original language	English
Article number	2150022
Journal	Random Matrices: Theory and Application
Volume	10
Issue number	2
DOIs	https://doi.org/10.1142/S2010326321500222
State	Published - Apr 2021
Externally published	Yes

Keywords

Largest eigenvalue
Tracy-Window law
VARMA
sample covariance matrix

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10.1142/S2010326321500222

Cite this

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title = "Tracy-Widom law for the largest eigenvalue of sample covariance matrix generated by VARMA",

abstract = "In this paper, we derive the Tracy-Widom law for the largest eigenvalue of sample covariance matrix generated by the vector autoregressive moving average model when the dimension is comparable to the sample size. This result is applied to make inference on the vector autoregressive moving average model. Simulations are conducted to demonstrate the finite sample performance of our inference.",

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author = "Boping Tian and Yangchun Zhang and Wang Zhou",

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AU - Tian, Boping

AU - Zhang, Yangchun

AU - Zhou, Wang

PY - 2021/4

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N2 - In this paper, we derive the Tracy-Widom law for the largest eigenvalue of sample covariance matrix generated by the vector autoregressive moving average model when the dimension is comparable to the sample size. This result is applied to make inference on the vector autoregressive moving average model. Simulations are conducted to demonstrate the finite sample performance of our inference.

AB - In this paper, we derive the Tracy-Widom law for the largest eigenvalue of sample covariance matrix generated by the vector autoregressive moving average model when the dimension is comparable to the sample size. This result is applied to make inference on the vector autoregressive moving average model. Simulations are conducted to demonstrate the finite sample performance of our inference.

KW - Largest eigenvalue

KW - Tracy-Window law

KW - VARMA

KW - sample covariance matrix

UR - https://www.scopus.com/pages/publications/85085996805

U2 - 10.1142/S2010326321500222

DO - 10.1142/S2010326321500222

M3 - 文章

AN - SCOPUS:85085996805

SN - 2010-3263

VL - 10

JO - Random Matrices: Theory and Application

JF - Random Matrices: Theory and Application

IS - 2

M1 - 2150022

ER -

Tracy-Widom law for the largest eigenvalue of sample covariance matrix generated by VARMA

Abstract

Keywords

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