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].