A note on the limiting spectral distribution of a symmetrized auto-cross covariance matrix

DOI10.1016/J.SPL.2014.10.002MaRDI QIDQ2339574zbMATH OpenOpenAlexFDO

Authors Chen Wang, Zhidong Bai

Publication date 1 April 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1403.2578

zbMATH Keywords

auto-cross covariance matrixlimiting spectral distributionrandom matricesStieltjes transform

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Factor analysis and principal components; correspondence analysis (62H25)

Abstract: In Jin et al. (2014), the limiting spectral distribution (LSD) of a symmetrized auto-cross covariance matrix is derived using matrix manipulation, with finite $(2+delta)$-th moment assumption. Here we give an alternative method using a result in Bai and Silverstein (2010), in which a weaker condition of finite 2nd moment is assumed.

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Cites work

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• Limiting spectral distribution of a symmetrized auto-cross covariance matrix
• No eigenvalues outside the support of the limiting spectral distribution of information-plus-noise type matrices
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Cited in

(5)

• Large sample autocovariance matrices of linear processes with heavy tails
• Limiting spectral distribution of a symmetrized auto-cross covariance matrix
• Tracy-Widom law for the largest eigenvalue of sample covariance matrix generated by VARMA
• Nonparametric estimate of spectral density functions of sample covariance matrices generated by VARMA models
• Strong limit of the extreme eigenvalues of a symmetrized auto-cross covariance matrix

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