On the Marčenko–Pastur law for linear time series
线性时间序列的 Marčenko–Pastur 定律
This paper is concerned with extensions of the classical Marčenko–Pastur law to time series. Specifically, $p$-dimensional linear processes are considered which are built from innovation vectors with independent, identically distributed (real- or complex-valued) entries possessing zero mean, unit variance and finite fourth moments. The coefficient matrices of the linear process are assumed to be simultaneously diagonalizable. In this setting, the limiting behavior of the…