On eigenvalue distributions of large autocovariance matrices
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Publication:2094572
Abstract: In this article, we establish a limiting distribution for eigenvalues of a class of auto-covariance matrices. The same distribution has been found in the literature for a regularized version of these auto-covariance matrices. The original non-regularized auto-covariance matrices are non invertible which introduce supplementary diffculties for the study of their eigenvalues through Girko's Hermitization scheme. The key result in this paper is a new polynomial lower bound for the least singular value of the resolvent matrices associated to a rank-defective quadratic function of a random matrix with independent and identically distributed entries. Another improvement in the paper is that the lag of the auto-covariance matrices can grow to infinity with the matrix dimension.
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Cited in
(8)- Eigenvalue distribution of large sample covariance matrices of linear processes
- Eigenvalues distribution limit of covariance matrices with AR processes entries
- Strong limit of the extreme eigenvalues of a symmetrized auto-cross covariance matrix
- On the limiting spectral distribution of the covariance matrices of time-lagged processes
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- On singular values distribution of a matrix large auto-covariance in the ultra-dimensional regime
- Moment approach for singular values distribution of a large auto-covariance matrix
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