On the Spectral Density of Large Sample Covariance Matrices with Markov Dependent Columns
Probability
2012-03-19 v1
Abstract
We investigate the spectral distribution of large sample covariance matrices with independent columns and entries in the columns that stem from Markov chains. We characterize the limiting spectral densities by their moments. Correspondingly, the proof is based on a moment method.
Keywords
Cite
@article{arxiv.1203.3749,
title = {On the Spectral Density of Large Sample Covariance Matrices with Markov Dependent Columns},
author = {Olga Friesen and Matthias Löwe},
journal= {arXiv preprint arXiv:1203.3749},
year = {2012}
}
Comments
21 pages