On singular value distribution of large dimensional auto-covariance matrices

Zeng Li, Guangming Pan, Jianfeng Yao

Let $({\epsilon }_j{)}_{j\ge 0}$ be a sequence of independent $p-$dimensional random vectors and $\tau \ge 1$ a given integer. From a sample $\varepsilon_1,\cdots,\varepsilon_{T+τ-1},\v…