On singular values distribution of a matrix large auto-covariance in the ultra-dimensional regime

DOI10.1142/S201032631550015XzbMATH Open1330.15044arXiv1501.06641OpenAlexW3101385534MaRDI QIDQ3459155FDOQ3459155

Qinwen Wang, Jian-Feng Yao

Publication date: 30 December 2015

Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)

Abstract: Let $(varepsilo{n}_t{)}_{t>0}$ be a sequence of independent real random vectors of $p$-dimension and let $X_T=su{m}_{t=s+1}^{s+T}varepsilo{n}_{t}varepsilo{n}_{t-s}^T/T$ be the lag-$s$ ($s$ is a fixed positive integer) auto-covariance matrix of $varepsilo{n}_t$. This paper investigates the limiting behavior of the singular values of $X_T$ under the so-called {em ultra-dimensional regime} where $poinfty$ and $Toinfty$ in a related way such that $p/To0$. First, we show that the singular value distribution of $X_T$ after a suitable normalization converges to a nonrandom limit $G$ (quarter law) under the forth-moment condition. Second, we establish the convergence of its largest singular value to the right edge of $G$. Both results are derived using the moment method.

Full work available at URL: https://arxiv.org/abs/1501.06641

zbMATH Keywords

singular valueslargest eigenvaluelimiting spectral distributionmoment methodauto-covariance matrixsingular value distributionultra-dimensional data

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Strong limit theorems (60F15)

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Cited In (4)

• Tracy–Widom law for the largest eigenvalue of sample covariance matrix generated by VARMA
• The Tracy-Widom law for the largest eigenvalue of F type matrices
• Large sample autocovariance matrices of linear processes with heavy tails
• Moment approach for singular values distribution of a large auto-covariance matrix

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