Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146530 | Journal of Multivariate Analysis | 2009 | 14 Pages |
Abstract
The existence of a limiting spectral distribution (LSD) for a large-dimensional sample covariance matrix generated by the vector autoregressive moving average (VARMA) model is established. In particular, we obtain explicit forms of the LSDs for random matrices generated by a first-order vector autoregressive (VAR(1)) model and a first-order vector moving average (VMA(1)) model, as well as random coefficients for VAR(1) and VMA(1). The parameters for these explicit forms are also estimated. Finally, simulations demonstrate that the results are effective.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Baisuo Jin, Cheng Wang, Baiqi Miao, Mong-Na Lo Huang,