24 citations · 33 across the 3 of their papers we have counts for
5 papers
Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
Johannes Heiny, Thomas Mikosch
In this paper, we show that the largest and smallest eigenvalues of a sample correlation matrix stemming from independent observations of a -dimensional time series with iid…
Large sample autocovariance matrices of linear processes with heavy tails
Johannes Heiny, Thomas Mikosch
We provide asymptotic theory for certain functions of the sample autocovariance matrices of a high-dimensional time series with infinite fourth moment. The time series exhibits lin…
The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
Johannes Heiny, Thomas Mikosch
We consider a -dimensional time series where the dimension increases with the sample size . The resulting data matrix follows a stochastic volatility model: each entr…
High-dimensional sample covariance matrices with Curie-Weiss entries
Michael Fleermann, Johannes Heiny
We study the limiting spectral distribution of sample covariance matrices , where are random matrices with correlated entries, for the cases $p/n\to y\in [0,\…
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…