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Journal articles
On the behaviour of large empirical autocovariance matrices between the past and the future
On the behaviour of large empirical autocovariance matrices between the past and the future
Abstract : The asymptotic behaviour of the distribution of the squared singular values of the sample autocovariance matrix between the past and the future of a high-dimensional complex Gaussian uncorrelated sequence is studied. Using Gaussian tools, it is established the distribution behaves as a deterministic probability measure whose support S is characterized. It is also established that the singular values to the square are almost surely located in a neighbourhood of S.
Cited literature [40 references]
https://hal.archives-ouvertes.fr/hal-02370315
Contributor : Philippe Loubaton <>
Submitted on : Monday, November 25, 2019 - 2:54:24 PM
Last modification on : Wednesday, February 3, 2021 - 7:54:28 AM
Long-term archiving on: : Wednesday, February 26, 2020 - 4:44:08 PM
Contributor : Philippe Loubaton <>
Submitted on : Monday, November 25, 2019 - 2:54:24 PM
Last modification on : Wednesday, February 3, 2021 - 7:54:28 AM
Long-term archiving on: : Wednesday, February 26, 2020 - 4:44:08 PM
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