Asymptotics for high-dimensional covariance matrices and quadratic forms with applications to the trace functional and shrinkage
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Abstract: We establish large sample approximations for an arbitray number of bilinear forms of the sample variance-covariance matrix of a high-dimensional vector time series using -bounded and small -bounded weighting vectors. Estimation of the asymptotic covariance structure is also discussed. The results hold true without any constraint on the dimension, the number of forms and the sample size or their ratios. Concrete and potential applications are widespread and cover high-dimensional data science problems such as tests for large numbers of covariances, sparse portfolio optimization and projections onto sparse principal components or more general spanning sets as frequently considered, e.g. in classification and dictionary learning. As two specific applications of our results, we study in greater detail the asymptotics of the trace functional and shrinkage estimation of covariance matrices. In shrinkage estimation, it turns out that the asymptotics differs for weighting vectors bounded away from orthogonaliy and nearly orthogonal ones in the sense that their inner product converges to 0.
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Cited in
(8)- Testing and estimating change-points in the covariance matrix of a high-dimensional time series
- Are minimum variance portfolios in multi-factor models long in low-beta assets?
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- Large-sample approximations for variance-covariance matrices of high-dimensional time series
- Sample covariance shrinkage for high dimensional dependent data
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- Detecting changes in the second moment structure of high-dimensional sensor-type data in a \(K\)-sample setting
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