Large sample behaviour of high dimensional autocovariance matrices

Monika Bhattacharjee, Arup Bose

The existence of limiting spectral distribution (LSD) of ${\hat{\Gamma }}_u+{\hat{\Gamma }}_u^{\ast }$, the symmetric sum of the sample autocovariance matrix ${\hat{\Gamma }}_u$ of order $u$, is known when the observ…