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20162022
most citedAlmost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices

24 citations · 34 across the 6 of their papers we have counts for

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math.ST2020

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…

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…