Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case

24 August 2016

Papers citing "Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case"

6 / 6 papers shown

Title
Local Tail Statistics of Heavy-Tailed Random Matrix Ensembles with Unitary Invariance M. Kieburg A. Monteleone 37 2 0 01 Mar 2021
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
Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series Richard A. Davis Johannes Heiny T. Mikosch Xiao-Yi Xie 60 25 0 26 Apr 2016