Abstract Let A be an n × n Hermitian matrix and A = UΛUH be its spectral decomposition, where U is a unitary matrix of order n and Λ is a diagonal matrix. In this note we present the perturbation ...
This is a preview. Log in through your library . Abstract We consider a multivariate heavy-tailed stochastic volatility model and analyze the large-sample behavior of its sample covariance matrix. We ...
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