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Title: Limiting behaviour of sample autocovariance matrix
Speaker: Prof. Arup Bose ISI Kolkata
Date: 18 October 2011
Time: 11:30 a.m.-12:30 p.m.
Venue: Department of Mathematics, Lecture Hall III

The empirical spectral distribution (ESD) of the sample variance covariance matrix of i.i.d. observations under suitable moment conditions converges almost surely as the dimension tends to infinity. The limiting spectral distribution (LSD) is universal and is known in closed form with support [0,4].

Contact: +91 (80) 2293 2711, +91 (80) 2293 2265 ;     E-mail: chair.math[at]iisc[dot]ac[dot]in
Last updated: 11 Dec 2023