Large sample behaviour of high dimensional autocovariance matrices

DOI10.1214/15-AOS1378MaRDI QIDQ282456zbMATH OpenFDO

Authors Monika Bhattacharjee, Arup Bose

Publication date 12 May 2016

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1603.09145, https://projecteuclid.org/euclid.aos/1458245729

zbMATH Keywords

\(\ast\)-algebraasymptotically freecompound free Poissonfree cumulantsID matrixinfinite dimensional vector linear processlimiting spectral distributionmoment methodnon-commutative probability spacenon-crossing partitionssemi-circle lawStieltjes transformationsymmetrized autocovariance matricesWigner matrix

Mathematics Subject Classification ID

Free probability and free operator algebras (46L54) Diagnostics, and linear inference and regression (62J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: The existence of limiting spectral distribution (LSD) of $hat{Gamma}_u+hat{Gamma}_u^{\ast }$, the symmetric sum of the sample autocovariance matrix $hat{Gamma}_u$ of order $u$, is known when the observations are from an infinite dimensional vector linear process with appropriate (strong) assumptions on the coefficient matrices. Under significantly weaker conditions, we prove, in a unified way, that the LSD of any symmetric polynomial in these matrices such as $hat{Gamma}_u+hat{Gamma}_u^{\ast }$, $hat{Gamma}_{u}hat{Gamma}_u^{\ast }$, $hat{Gamma}_{u}hat{Gamma}_u^{\ast }+hat{Gamma}_{k}hat{Gamma}_k^{\ast }$ exist. Our approach is through the more intuitive algebraic method of free probability in conjunction with the method of moments. Thus, we are able to provide a general description for the limits in terms of some freely independent variables. All the previous results follow as special cases. We suggest statistical uses of these LSD and related results in order determination and white noise testing.

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