From random matrices to long range dependence
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Publication:2809333
DOI10.1142/S2010326316500088zbMATH Open1381.60019arXiv1401.0780OpenAlexW3101416375MaRDI QIDQ2809333FDOQ2809333
Authors: Rajat Subhra Hazra, Deepayan Sarkar, Arijit Chakrabarty 
Publication date: 27 May 2016
Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)
Abstract: Random matrices whose entries come from a stationary Gaussian process are studied. The limiting behavior of the eigenvalues as the size of the matrix goes to infinity is the main subject of interest in this work. It is shown that the limiting spectral distribution is determined by the absolutely continuous component of the spectral measure of the stationary process, a phenomenon resembling that in the situation where the entries of the matrix are i.i.d. On the other hand, the discrete component contributes to the limiting behavior of the eigenvalues in a completely different way. Therefore, this helps to define a boundary between short and long range dependence of a stationary Gaussian process in the context of random matrices.
Full work available at URL: https://arxiv.org/abs/1401.0780
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Cited In (16)
- Random matrix ensembles with split limiting behavior
- Limiting spectral distribution of a new random matrix model with dependence across rows and columns
- On long-range dependence of random measures
- Local spectral statistics of Gaussian matrices with correlated entries
- The limiting spectral distribution in terms of spectral density
- Remarks on absolute continuity in the context of free probability and random matrices
- Regular variation and free regular infinitely divisible laws
- Unbounded largest eigenvalue of large sample covariance matrices: asymptotics, fluctuations and applications
- Long memory and asymmetry for matrix-exponential dynamic correlation processes
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- On the limiting spectral distribution for a large class of symmetric random matrices with correlated entries
- Wavelet eigenvalue regression in high dimensions
- On the empirical spectral distribution for matrices with long memory and independent rows
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