A random matrix approach to VARMA processes

New Journal of Physics

Volumn 12, Issue , 2010, Pages

  Burda, Zdzisław ^a   Jarosz, Andrzej ^b   Nowak, Maciej A ^c   Snarska, Mał ^c  

^a JAGIELLONIAN UNIVERSITY   (Poland)

^b Clico Ltd   (Poland)

^c CRACOW UNIVERSITY OF ECONOMICS   (Poland)

Author keywords

[No Author keywords available]

Indexed keywords

ANALYTICAL RESULTS; EIGEN-VALUE; FREE RANDOM VARIABLES; MONTE CARLO SIMULATION; RANDOM MATRICES; RANDOM MATRIX THEORY; RANDOM-MATRIX APPROACH; SAMPLE COVARIANCES; VARMA PROCESS;

ALGEBRA; COMPUTER SIMULATION; COVARIANCE MATRIX; EIGENVALUES AND EIGENFUNCTIONS; MONTE CARLO METHODS; SPECTRAL DENSITY; TIME MEASUREMENT;

RANDOM VARIABLES;

EID: 77956562676     PISSN: 13672630     EISSN: None     Source Type: Journal    
DOI: 10.1088/1367-2630/12/7/075036     Document Type: Article

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