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Chen Wang, Baisuo Jin, Z. D. Bai +2
The auto-cross covariance matrix is defined as \[\mathbf{M}_n=\frac{1} {2T}\sum_{j=1}^T\bigl(\mathbf{e}_j\mathbf{e}_{j+τ}^*+\mathbf{e}_{j+ τ}\mathbf{e}_j^*\bigr),\] where $\mathbf{…