A note on a Marčenko-Pastur type theorem for time series

Details A note on a Marčenko-Pastur type theorem for time series A note on a Marčenko-Pastur type theorem for time series

2011-09-08

arxiv.org/abs/1109.1612v1

Mathematics

Statistics Theory

Scientific paper

In this note we develop an extension of the Mar\v{c}enko-Pastur theorem to time series model with temporal correlations. The limiting spectral distribution (LSD) of the sample covariance matrix is characterised by an explicit equation for its Stieltjes transform depending on the spectral density of the time series. A numerical algorithm is then given to compute the density functions of these LSD's.

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