Fluctuations of Marchenko–Pastur limit of random matrices with dependent entries

Ayako Hasegawa, Noriyoshi Sakuma and Hiroaki Yoshida

Statistics & Probability Letters, 2017, vol. 127, issue C, 85-96

Abstract: Pfaffel and Schlemm have investigated the sample covariance matrix with dependent entries motivated from moving average. Our former paper gave free probabilistic interpretation of it. In this paper, we suggest a new statistical hypothesis testing to coefficients of the moving average model using real second order freeness, which describes fluctuations of its almost sure limiting distribution.

Keywords: Free probability; Non-commutative probability; Random matrix; Moving average; Compound Poisson (search for similar items in EconPapers)
Date: 2017
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715217301220
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:127:y:2017:i:c:p:85-96

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2017.03.022

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().