Suppose the matrix W is constructed as $W=XX^T$ where $X_i(t) = \phi_i X_i(t1) + a_i(t)$, and $a_i(t)$ ~ $N(0,1)$. I am interested in knowing the eigen value distribution of W. My google search on the topic returned Sven Ã…berg's paper on WishartLevy matrices, but the results and methods in that paper are in a sense insufficient. Is there any exact result available?
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