[Forum SIS] UNIBO Statistics Seminars

[Silvia Cagnone]

We are glad to announce the following Statistics Seminar:


Tuesday, March 12, 4.00 pm

Room III, via delle Belle Arti 41, Bologna


              Alexander Aue (University of California, Davis)

Eigenvalue distributions of sample (auto)covariance matrices obtained from high-dimensional linear processes


Abstract

This talk is concerned with extensions of the classical Marcenko-Pastur law to time series. Specifically, p-dimensional linear processes are considered which are built from innovation vectors with independent, identically distributed entries possessing zero mean, unit variance and finite fourth moments. Under suitable assumptions on the coefficient matrices of the linear process, the limiting behavior of the empirical spectral distribution of both sample covariance and symmetrized sample autocovariance matrices is determined in the high-dimensional setting for which dimension p and sample size n diverge to infinity at the same rate. The results extend existing contributions available in the literature for the covariance case and are one of the first of their kind for the autocovariance case. The talk is based on joint work with Haoyang Liu (New York Fed) and Debashis Paul (UC Davis).



Contact person: Giuseppe Cavaliere e Alessandra Luati


The schedule of the statistics seminars are available at http://www.stat.unibo.it/it/dipartimento/seminari-di-statistica-2019


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