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1604.07750
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Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series
26 April 2016
Richard A. Davis
Johannes Heiny
T. Mikosch
Xiao-Yi Xie
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Papers citing
"Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series"
7 / 7 papers shown
Title
Heavy-Tailed Regularization of Weight Matrices in Deep Neural Networks
Xuanzhe Xiao
Zengyi Li
Chuanlong Xie
Fengwei Zhou
103
3
0
06 Apr 2023
Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations
Johannes Heiny
Jianfeng Yao
66
15
0
08 Mar 2020
Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
Johannes Heiny
T. Mikosch
62
22
0
30 Jan 2020
Large sample autocovariance matrices of linear processes with heavy tails
Johannes Heiny
T. Mikosch
70
6
0
14 Jan 2020
The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
Johannes Heiny
T. Mikosch
74
12
0
14 Jan 2020
Asymptotic joint distribution of extreme eigenvalues and trace of large sample covariance matrix in a generalized spiked population model
Zeng Li
Fang Han
Jianfeng Yao
57
20
0
23 Jun 2019
Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case
Johannes Heiny
T. Mikosch
81
24
0
24 Aug 2016
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