Zobrazeno 1 - 10
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pro vyhledávání: '"Bai, Z. D."'
Consider the following dynamic factor model: $\mathbf{R}_t=\sum_{i=0}^q \mathbf{\Lambda}_i \mathbf{f}_{t-i}+\mathbf{e}_t,t=1,...,T$, where $\mathbf{\Lambda}_i$ is an $n\times k$ loading matrix of full rank, $\{\mathbf{f}_t\}$ are i.i.d. $k\times1$-fa
Externí odkaz:
http://arxiv.org/abs/1511.02534
Sample covariance matrices are widely used in multivariate statistical analysis. The central limit theorems (CLT's) for linear spectral statistics of high-dimensional non-centered sample covariance matrices have received considerable attention in ran
Externí odkaz:
http://arxiv.org/abs/1404.6633
Publikováno v:
Annals of Applied Probability 2015, Vol. 25, No. 6, 3624-3683
The auto-cross covariance matrix is defined as \[\mathbf{M}_n=\frac{1} {2T}\sum_{j=1}^T\bigl(\mathbf{e}_j\mathbf{e}_{j+\tau}^*+\mathbf{e}_{j+ \tau}\mathbf{e}_j^*\bigr),\] where $\mathbf{e}_j$'s are $n$-dimensional vectors of independent standard comp
Externí odkaz:
http://arxiv.org/abs/1312.2277
Publikováno v:
Annals of Applied Probability 2011, Vol. 21, No. 5, 1994-2015
Let $S_n=\frac{1}{n}X_nX_n^*$ where $X_n=\{X_{ij}\}$ is a $p\times n$ matrix with i.i.d. complex standardized entries having finite fourth moments. Let $Y_n(\mathbf {t}_1,\mathbf {t}_2,\sigma)=\sqrt{p}({\mathbf {x}}_n(\mathbf {t}_1)^*(S_n+\sigma I)^{
Externí odkaz:
http://arxiv.org/abs/1201.0086
Publikováno v:
Annals of Probability 2007, Vol. 35, No. 4, 1532-1572
Let \{$X_{ij}$\}, $i,j=...,$ be a double array of i.i.d. complex random variables with $EX_{11}=0,E|X_{11}|^2=1$ and $E|X_{11}|^4<\infty$, and let $A_n=\frac{1}{N}T_n^{{1}/{2}}X_nX_n^*T_n^{{1}/{2}}$, where $T_n^{{1}/{2}}$ is the square root of a nonn
Externí odkaz:
http://arxiv.org/abs/0708.1720
Autor:
Bai, Z. D., Silverstein, Jack W.
Publikováno v:
Annals of Applied Probability 2007, Vol. 17, No. 1, 81-101
Let $\{s_{ij}:i,j=1,2,...\}$ consist of i.i.d. random variables in $\mathbb{C}$ with $\mathsf{E}s_{11}=0$, $\mathsf{E}|s_{11}|^2=1$. For each positive integer $N$, let $\mathbf{s}_k={\mathbf{s}}_k(N)=(s_{1k},s_{2k},...,s_{Nk})^T$, $1\leq k\leq K$, wi
Externí odkaz:
http://arxiv.org/abs/math/0702888
Autor:
Bai, Z. D., Silverstein, Jack W.
Publikováno v:
The Annals of Probability, 2004 Jan 01. 32(1), 553-605.
Externí odkaz:
https://www.jstor.org/stable/3481569
Publikováno v:
The Annals of Applied Probability, 2002 Nov 01. 12(4), 1149-1173.
Externí odkaz:
https://www.jstor.org/stable/1193196
Publikováno v:
The Annals of Statistics, 2002 Feb 01. 30(1), 122-139.
Externí odkaz:
https://www.jstor.org/stable/2700005
Autor:
Bai, Z. D., Silverstein, Jack W.
Publikováno v:
The Annals of Probability, 1999 Jul 01. 27(3), 1536-1555.
Externí odkaz:
https://www.jstor.org/stable/2652813