Limiting Spectral Distribution of Large-Dimensional Sample Covariance Matrices Generated by the Periodic Autoregressive Model

oleh: Jin Zou, Dong Han

Format: Article
Diterbitkan: Wiley 2021-01-01

Deskripsi

The explicit representation for the limiting spectral moments of sample covariance matrices generated by the periodic autoregressive model (PAR) is established. We propose to use the moment-constrained maximum entropy method to estimate the spectral density function. The experiments show that the maximum entropy spectral density function curve obtained based on the fourth-order limiting spectral moment can match histograms of the eigenvalues of the covariance matrices very well.