2 papers
math.PR2016
The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model
Anja Janßen, Thomas Mikosch, Mohsen Rezapour +1
We consider a multivariate heavy-tailed stochastic volatility model and analyze the large-sample behavior of its sample covariance matrix. We study the limiting behavior of its ent…
math.ST2016
Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series
Richard Davis, Johannes Heiny, Thomas Mikosch +1
We provide some asymptotic theory for the largest eigenvalues of a sample covariance matrix of a p-dimensional time series where the dimension p = p_n converges to infinity when th…