A note on the limiting spectral distribution of a symmetrized auto-cross covariance matrix

Zhidong Bai and Chen Wang

Statistics & Probability Letters, 2015, vol. 96, issue C, 333-340

Abstract: In Jin et al. (2014), the limiting spectral distribution (LSD) of a symmetrized auto-cross covariance matrix is derived using matrix manipulation. The goal of this note is to provide a new method to derive the LSD, which greatly simplifies the derivation in Jin et al. (2014). Moreover, as a by-product, the moment condition of the underlying random variables can be weakened from 2+δ to 2.

Keywords: Auto-cross covariance; Limiting spectral distribution; Random matrix theory; Stieltjes transform (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2014.10.002

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