由VARMA生成的样本协方差矩阵的最大特征值的tracy - wisdom律

Pub Date : 2020-05-28 DOI:10.1142/s2010326321500222

Boping Tian, Yangchun Zhang, Wang Zhou

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引用次数: 4

摘要

本文导出了由向量自回归移动平均模型生成的样本协方差矩阵在维数与样本量相当时的最大特征值的Tracy-Widom定律。将这一结果应用于向量自回归移动平均模型的推理。通过仿真验证了我们的推理的有限样本性能。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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

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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