A random matrix approach to VARMA processes
From MaRDI portal
Abstract: We apply random matrix theory to derive spectral density of large sample covariance matrices generated by multivariate VMA(q), VAR(q) and VARMA(q1,q2) processes. In particular, we consider a limit where the number of random variables N and the number of consecutive time measurements T are large but the ratio N/T is fixed. In this regime the underlying random matrices are asymptotically equivalent to Free Random Variables (FRV). We apply the FRV calculus to calculate the eigenvalue density of the sample covariance for several VARMA-type processes. We explicitly solve the VARMA(1,1) case and demonstrate a perfect agreement between the analytical result and the spectra obtained by Monte Carlo simulations. The proposed method is purely algebraic and can be easily generalized to q1>1 and q2>1.
Recommendations
- Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA
- On limiting spectral distribution of large sample covariance matrices by VARMA(p,q)
- Limiting spectral distribution of large-dimensional sample covariance matrices generated by ARMA(p,q) processes
- Eigenvalue distribution of large sample covariance matrices of linear processes
- Eigenvalues distribution limit of covariance matrices with AR processes entries
Cites work
- Eigenvalue density of empirical covariance matrix for correlated samples
- Free Random Variables
- scientific article; zbMATH DE number 5691097 (Why is no real title available?)
- scientific article; zbMATH DE number 718142 (Why is no real title available?)
- scientific article; zbMATH DE number 842531 (Why is no real title available?)
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- Law of addition in random matrix theory
- Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA
- Multiplicative functions on the lattice of non-crossing partitions and free convolution
Cited in
(7)- VAR analysis, nonfundamental representations, Blaschke matrices
- Spectra of large time-lagged correlation matrices from random matrix theory
- Random matrix models for datasets with fixed time horizons
- Spectral distribution of the sample covariance of high-dimensional time series with unit roots
- From synaptic interactions to collective dynamics in random neuronal networks models: critical role of eigenvectors and transient behavior
- Free deterministic equivalent Z-scores of compound Wishart models: A goodness of fit test of 2D ARMA models
- Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA
This page was built for publication: A random matrix approach to VARMA processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5131407)
