Zdzis{\l}aw Burda; Jarosz, Andrzej; Nowak, Maciej A.; … - arXiv.org - 2010
We apply random matrix theory to derive spectral density of large sample covariance matrices generated by multivariate VMA(q), VAR(q) and VARMA(q1,q2) processes. In particular, we consider a limit where the number of random variables N and the number of consecutive time measurements T are large...