Spectrum of Exponentially Weighted Covariance Matrices
The spectrum of exponentially weighted covariance matrices is studied here. We first give a formal way of obtaining the spectrum using annealed approximation frequently used in Statistical Mechanics. Using the method developed by Bai and Silverstein we obtain the result rigorously. This spectrum matches with the spectrum obtained by annealed approximation. We also show some simulation results to see how well they match with the obtained expression.
Record created on 2008-05-15, modified on 2016-08-08