On the asymptotic behaviour of the eigenvalue distribution of block correlation matrices of high-dimensional time series

Philippe Loubaton (1) , Xavier Mestre (2)

1 LIGM - Laboratoire d'Informatique Gaspard-Monge
2 CTTC - Centre Tecnològic de Telecomunicacions de Catalunya = Telecommunications Technological Centre of Catalonia

Domains: Mathematics [math]; Probability [math.PR]

Philippe Loubaton, Xavier Mestre. On the asymptotic behaviour of the eigenvalue distribution of block correlation matrices of high-dimensional time series. 2020. ⟨hal-02543994v1⟩