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SUMMARY:Spectra of Sample Auto-Covariance Matrices - Kuehn\, R (King's Col
 lege London)
DTSTART:20150423T130000Z
DTEND:20150423T140000Z
UID:TALK59137@talks.cam.ac.uk
CONTACT:42083
DESCRIPTION:This work is based on   R. Khn and P. Sollich 2012 EPL 99 2000
 8 doi:10.1209/0295-5075/99/20008\n\nIn this paper we compute spectra of sa
 mple auto-covariance matrices of  stationary time series. The central resu
 lt amounts to a generalization of Szeg"os theorem for spectra of Toeplitz 
 matrices to the case with randomness due to finite sample effects. While t
 he related problem of sample covariance matrices is well understood since 
 the work of \nMarcenkov and Pastur\, very little has been known about  the
  sample \nauto-covariance problem.\n
LOCATION:Seminar Room 2\, Newton Institute Gatehouse
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