2019
Том 71
№ 9

All Issues

On asymptotic properties of the empirical correlation matrix of a homogeneous vector-valued Gaussian field

Buldygin V. V., Demyanenko O. O.

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Abstract

We investigate properties of the empirical correlation matrix of a centered stationary Gaussian vector field in various function spaces. We prove that, under the condition of integrability of the square of the spectral density of the field, the normalization effect takes place for a correlogram and integral functional of it.

English version (Springer): Ukrainian Mathematical Journal 52 (2000), no. 3, pp 346-367.

Citation Example: Buldygin V. V., Demyanenko O. O. On asymptotic properties of the empirical correlation matrix of a homogeneous vector-valued Gaussian field // Ukr. Mat. Zh. - 2000. - 52, № 3. - pp. 300-318.

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