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

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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.

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Authors and Affiliations

  1. Kiev Politechnic Institute, Kiev

    V. V. Buldygin & O. O. Dem’yanenko

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  1. V. V. Buldygin
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  2. O. O. Dem’yanenko
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Buldygin, V.V., Dem’yanenko, O.O. On asymptotic properties of the empirical correlation matrix of a homogeneous vector-valued Gaussian field. Ukr Math J 52, 346–367 (2000). https://doi.org/10.1007/BF02513130

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  • DOI: https://doi.org/10.1007/BF02513130

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