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SUMMARY:Limiting spectral distributions for a class of high-dimensional ti
 me series - Alexander Aue (University of California\, Davis)
DTSTART:20180322T113000Z
DTEND:20180322T123000Z
UID:TALK102811@talks.cam.ac.uk
CONTACT:INI IT
DESCRIPTION:This talk discusses extensions to the time series case of the 
 Marcenko-Pastur law on limiting spectral distributions (LSDs) for the eige
 nvalues of high-dimensional sample covariance matrices. The main result wi
 ll be on establishing a non-linear integral equation characterizing the LS
 D in terms of its Stieltjes transform. Intuition will be presented for the
  simple case of a first-order moving average time series and evidence will
  be provided\, indicating the applicability of the result to problems invo
 lving to the estimation of certain quadratic forms as they arise\, for exa
 mple\, when dealing with the Markowitz portfolio problem. The talk is base
 d on joint work with Haoyang Liu (Florida State) and Debashis Paul (UC Dav
 is).
LOCATION:Seminar Room 1\, Newton Institute
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