Asymptotics for the Covariance of the Airy2Process
โ Scribed by Gregory Shinault; Craig A. Tracy
- Publisher
- Springer
- Year
- 2011
- Tongue
- English
- Weight
- 501 KB
- Volume
- 143
- Category
- Article
- ISSN
- 0022-4715
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
Let \(\left\{X_{t} ; t \in \mathbb{Z}\right\}\) be a strictly stationary process with mean zero and autovariance function (a.c.v.f.) \(\gamma_{x}, v \in \mathbb{Z}\). Let \(\hat{\gamma}_{v}=n^{-1} \sum_{t=1}^{n-\mid v_{i}} X_{1} X_{r+|x|}\) be the serial covariance of order \(v\) computed from a sam
The exponentially weighted moving average (EWMA) covariance estimator is a standard estimator for financial time series, and its spectrum can be used for so-called random matrix filtering. Random matrix filtering using the spectrum of the sample covariance matrix is an established tool in finance an