Journal of Applied Probability, Vol. 41, Stochastic Methods and Their Applications (2004), pp. 347-360 (14 pages) This paper investigates the probabilistic behaviour of the eigenvalue of the empirical ...

This is a preview. Log in through your library . Abstract We consider a multivariate heavy-tailed stochastic volatility model and analyze the large-sample behavior of its sample covariance matrix. We ...

where A is an arbitrary square numeric matrix for which eigenvalues and eigenvectors are to be calculated. The following are properties of the unsymmetric real eigenvalue problem, in which the real ...

Correction: The original version of this article incorrectly stated that eigenvalues are the magnitudes of eigenvectors. In fact, eigenvalues are scalars that are multiplied with eigenvectors. This ...