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Conjecture on eigenvalues of the reduced spectral covariance matrix
About 7 years old
Let $\IGamma_{yy}$ and $\bGamma_{yy|x}$ be the matrices arising from the single-regression Granger-causality estimator, and let $\lambda_i$ denote the eigenvalues of…
openasymptotic-distributions granger-causality time-series
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Conjecture on eigenvalues of the reduced spectral covariance matrix