On singular value distribution of large-dimensional autocovariance matrices

DOI10.1016/J.JMVA.2015.02.006MaRDI QIDQ2348447zbMATH OpenOpenAlexFDO

Authors Zeng Li, Guangming Pan, Jian-Feng Yao

Publication date 12 June 2015

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1402.6149

zbMATH Keywords

large-dimensional auto-covariance matrixlimiting spectral distributionrandom matrix theorysingular value distribution

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Limit theorems in probability theory (60F99) Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: Let $(varepsilo{n}_j{)}_{jgeq0}$ be a sequence of independent $p-$dimensional random vectors and $augeq1$ a given integer. From a sample $varepsilo{n}_1,cdots,varepsilo{n}_{T+au-1},varepsilo{n}_{T+au}$ of the sequence, the so-called lag $-au$ auto-covariance matrix is $C_{au}=T^{-1}su{m}_{j=1}^{T}varepsilo{n}_{au+j}varepsilo{n}_j^t$. When the dimension $p$ is large compared to the sample size $T$, this paper establishes the limit of the singular value distribution of $C_{a}u$ assuming that $p$ and $T$ grow to infinity proportionally and the sequence satisfies a Lindeberg condition on fourth order moments. Compared to existing asymptotic results on sample covariance matrices developed in random matrix theory, the case of an auto-covariance matrix is much more involved due to the fact that the summands are dependent and the matrix $C_{a}u$ is not symmetric. Several new techniques are introduced for the derivation of the main theorem.

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Cites work

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Cited in

(11)

• On eigenvalue distributions of large autocovariance matrices
• Large sample autocovariance matrices of linear processes with heavy tails
• Limiting spectral distribution of a symmetrized auto-cross covariance matrix
• Singular value distribution of dense random matrices with block Markovian dependence
• On the behavior of large empirical autocovariance matrices between the past and the future
• 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
• On the asymptotic behavior of the eigenvalue distribution of block correlation matrices of high-dimensional time series
• On singular values of large dimensional lag-\(\tau\) sample auto-correlation matrices
• On singular values of data matrices with general independent columns
• Moment bounds for large autocovariance matrices under dependence

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