Convergence of the largest eigenvalues in a sample covariance matrix for multivariate time series

Thomas Mikosch

http://www.birs.ca/events/2014/5-day-workshops/14w5157/videos/watch/201404300900-Mikosch.html

Birs- 14w5157: Recent Advances and Trends in Time Series Analysis: Nonlinear Time Series, High Dimensional Inference and Beyond