Limiting spectral distribution of Toeplitz and Hankel matrices with dependent entries

Authors

Shambhu Nath Maurya, Indian Statistical Institute, Kolkata

Article Type

Research Article

Publication Title

Statistics and Probability Letters

Abstract

This article deals with the limiting spectral distributions (LSD) of symmetric Toeplitz and Hankel matrices with dependent entries. For any fixed integer m≥0, we consider these n×n matrices with entries {Yj^(m)/n;j∈Z}, where Yj^(m)=∑r=−m^mXj+r and {Xk} are i.i.d. random variables with mean zero and variance one. We provide explicit expressions for the LSDs. As a special case (m=0), this article provides an alternate proof for the LSDs of these matrices when the entries are i.i.d. with mean zero and variance one. The method is based on the moment method.

DOI

10.1016/j.spl.2024.110092

Publication Date

6-1-2024

Recommended Citation

Maurya, Shambhu Nath, "Limiting spectral distribution of Toeplitz and Hankel matrices with dependent entries" (2024). Journal Articles. 4883.
https://digitalcommons.isical.ac.in/journal-articles/4883