搜索结果: 1-2 共查到“概率论 Random matrix”相关记录2条 . 查询时间(0.341 秒)
A Random Matrix Approach to VARMA Processes
VARMA random matrix theory free random variables Wishart ensemble covariance matrix historical estimation
2010/2/4
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...