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What is...a Random Matrix?
Random Matrix
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2015/7/8
What is...a Random Matrix。
A Random Matrix Approach to VARMA Processes
VARMA random matrix theory free random variables Wishart ensemble covariance matrix historical estimation
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2010/4/27
We apply random matrix theory to derive spectral density of large sample covariance matrices generated by multivariate VMA(q), VAR(q) and VARMA(q1,q2) processes. In particular, we consider a limit whe...