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

Authors

  • V. V. Buldygin Нац. техн. ун-т Украины „КПИ”, Киев
  • O. O. Demyanenko

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.

Published

25.03.2000

Issue

Section

Research articles

How to Cite

Buldygin, V. V., and O. O. Demyanenko. “On Asymptotic Properties of the Empirical Correlation Matrix of a Homogeneous Vector-Valued Gaussian Field”. Ukrains’kyi Matematychnyi Zhurnal, vol. 52, no. 3, Mar. 2000, pp. 300-18, https://umj.imath.kiev.ua/index.php/umj/article/view/4420.