Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA

Baisuo Jin, Cheng Wang, Baiqi Miao and Mong-Na Lo Huang

Journal of Multivariate Analysis, 2009, vol. 100, issue 9, 2112-2125

Abstract: The existence of a limiting spectral distribution (LSD) for a large-dimensional sample covariance matrix generated by the vector autoregressive moving average (VARMA) model is established. In particular, we obtain explicit forms of the LSDs for random matrices generated by a first-order vector autoregressive (VAR(1)) model and a first-order vector moving average (VMA(1)) model, as well as random coefficients for VAR(1) and VMA(1). The parameters for these explicit forms are also estimated. Finally, simulations demonstrate that the results are effective.

Keywords: Large-dimensional; random; matrices; Limiting; spectral; distribution; Vector; autoregression (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (6)

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