Marchenko Pastur type theorem for independent MRW processes: convergence of the empirical spectral measure

Details Marchenko Pastur type theorem for independent MRW processes: convergence of the empirical spectral measure Marchenko Pastur type theorem for independent MRW processes: convergence of the empirical spectral measure

2011-06-29

arxiv.org/abs/1106.5891v1

Mathematics

Probability

Scientific paper

We study the asymptotics of the spectral distribution for large empirical
covariance matrices composed of independent Multifractal Random Walk processes.
The asymptotic is taken as the observation lag shrinks to 0. In this setting,
we show that there exists a limiting spectral distribution whose Stieltjes
transform is uniquely characterized by equations which we specify.

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