BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//talks.cam.ac.uk//v3//EN
BEGIN:VTIMEZONE
TZID:Europe/London
BEGIN:DAYLIGHT
TZOFFSETFROM:+0000
TZOFFSETTO:+0100
TZNAME:BST
DTSTART:19700329T010000
RRULE:FREQ=YEARLY;BYMONTH=3;BYDAY=-1SU
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0100
TZOFFSETTO:+0000
TZNAME:GMT
DTSTART:19701025T020000
RRULE:FREQ=YEARLY;BYMONTH=10;BYDAY=-1SU
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
CATEGORIES:Isaac Newton Institute Seminar Series
SUMMARY:Limiting spectral distributions for a class of hig
 h-dimensional time series - Alexander Aue (Univers
 ity of California\, Davis)
DTSTART;TZID=Europe/London:20180322T113000
DTEND;TZID=Europe/London:20180322T123000
UID:TALK102811AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/102811
DESCRIPTION:This talk discusses extensions to the time series 
 case of the Marcenko-Pastur law on limiting spectr
 al distributions (LSDs) for the eigenvalues of hig
 h-dimensional sample covariance matrices. The main
  result will be on establishing a non-linear integ
 ral equation characterizing the LSD in terms of it
 s Stieltjes transform. Intuition will be presented
  for the simple case of a first-order moving avera
 ge time series and evidence will be provided\, ind
 icating the applicability of the result to problem
 s involving to the estimation of certain quadratic
  forms as they arise\, for example\, when dealing 
 with the Markowitz portfolio problem. The talk is 
 based on joint work with Haoyang Liu (Florida Stat
 e) and Debashis Paul (UC Davis).
LOCATION:Seminar Room 1\, Newton Institute
CONTACT:INI IT
END:VEVENT
END:VCALENDAR