CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data

DOI10.1007/S00362-021-01250-3MaRDI QIDQ2122833zbMATH OpenOpenAlexFDO

Authors Tingting Zou, Shurong Zheng, Zhidong Bai, Jian-Feng Yao, Hongtu Zhu

Publication date 7 April 2022

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1708.03749

zbMATH Keywords

central limit theoremhigh-dimensional dependent datalinear spectral statisticsrepeated linear processessample covariance matrices

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Central limit and other weak theorems (60F05) Asymptotic distribution theory in statistics (62E20)

Abstract: This paper investigates the central limit theorem for linear spectral statistics of high dimensional sample covariance matrices of the form $mathbf{B}_n=n^{-1}su{m}_{j=1}^{n}mathbfQmathbf{x}_{j}mathbf{x}_j^{\ast }mathbf{Q}^{\ast }$ where $mathbfQ$ is a nonrandom matrix of dimension $pimesk$, and $mathbf{x}_j$ is a sequence of independent $k$-dimensional random vector with independent entries, under the assumption that $p/noy>0$. A key novelty here is that the dimension $kgep$ can be arbitrary, possibly infinity. This new model of sample covariance matrices $mathbf{B}_n$ covers most of the known models as its special cases. For example, standard sample covariance matrices are obtained with $k=p$ and $mathbfQ=mathbf{T}_n^{1/2}$ for some positive definite Hermitian matrix $mathbf{T}_n$. Also with $k=infty$ our model covers the case of repeated linear processes considered in recent high-dimensional time series literature. The CLT found in this paper substantially generalizes the seminal CLT in Bai and Silverstein (2004). Applications of this new CLT are proposed for testing the structure of a high-dimensional covariance matrix. The derived tests are then used to analyse a large fMRI data set regarding its temporary correlation structure.

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Cited in

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• CLT for largest eigenvalues and unit root testing for high-dimensional nonstationary time series
• Applications on linear spectral statistics of high-dimensional sample covariance matrix with divergent spectrum
• CLT for linear spectral statistics of high-dimensional sample covariance matrices in elliptical distributions
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