Timeline for Maximum eigenvalue of a covariance matrix of Brownian motion
Current License: CC BY-SA 4.0
6 events
| when toggle format | what | by | license | comment | |
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| Jul 24, 2020 at 10:36 | comment | added | Weiqiang Yang | Thank you so much. I have spent much time trying to prove it through linear algebra, but failed. We get L through Cholesky decomposition, and (Lx)'(Lx) is hard to deal with. | |
| Jul 23, 2020 at 15:07 | history | edited | Mateusz Wasilewski | CC BY-SA 4.0 |
Minor typos
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| Jul 23, 2020 at 15:06 | comment | added | Mateusz Wasilewski | The $i=1$ case is special because $t_1 - t_0 = \frac{1}{n}$, which is not quadratic like the other differences. | |
| Jul 23, 2020 at 15:04 | vote | accept | Weiqiang Yang | ||
| Jul 23, 2020 at 14:42 | comment | added | Weiqiang Yang | Brilliant. Thank you very much. But why $y_1$ is special? Can't we get 4 as upper bound? | |
| Jul 23, 2020 at 12:02 | history | answered | Mateusz Wasilewski | CC BY-SA 4.0 |