Limiting Spectral Distribution of Large-Dimensional Sample Covariance Matrices Generated by the Periodic Autoregressive Model

Jin Zou, Dong Han and Georgios Psarrakos

Journal of Mathematics, 2021, vol. 2021, 1-9

Abstract: The explicit representation for the limiting spectral moments of sample covariance matrices generated by the periodic autoregressive model (PAR) is established. We propose to use the moment-constrained maximum entropy method to estimate the spectral density function. The experiments show that the maximum entropy spectral density function curve obtained based on the fourth-order limiting spectral moment can match histograms of the eigenvalues of the covariance matrices very well.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jjmath:9526991

DOI: 10.1155/2021/9526991

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