On eigenvalue distributions of large autocovariance matrices
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Publication:2094572
DOI10.1214/21-AAP1764zbMATH Open1501.15030arXiv2011.09165OpenAlexW4306767554MaRDI QIDQ2094572FDOQ2094572
Authors: Wangjun Yuan, Jian-Feng Yao 
Publication date: 31 October 2022
Published in: The Annals of Applied Probability (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/2011.09165
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Cited In (5)
- Eigenvalue distribution of large sample covariance matrices of linear processes
- On the limiting spectral distribution of the covariance matrices of time-lagged processes
- Strong limit of the extreme eigenvalues of a symmetrized auto-cross covariance matrix
- Moment approach for singular values distribution of a large auto-covariance matrix
- Eigenvalues distribution limit of covariance matrices with AR processes entries
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