Limiting spectral distribution of sample autocovariance matrices

DOI10.3150/13-BEJ520zbMATH Open1327.60023arXiv1108.3147OpenAlexW3106046711MaRDI QIDQ396002FDOQ396002

Anirban Basak, Arup Bose, Sanchayan Sen

Publication date: 8 August 2014

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We show that the empirical spectral distribution (ESD) of the sample autocovariance matrix (ACVM) converges as the dimension increases, when the time series is a linear process with reasonable restriction on the coefficients. The limit does not depend on the distribution of the underlying driving i.i.d. sequence and its support is unbounded. This limit does not coincide with the spectral distribution of the theoretical ACVM. However, it does so if we consider a suitably tapered version of the sample ACVM. For banded sample ACVM the limit has unbounded support as long as the number of non-zero diagonals in proportion to the dimension of the matrix is bounded away from zero. If this ratio tends to zero, then the limit exists and again coincides with the spectral distribution of the theoretical ACVM. Finally, we also study the LSD of a naturally modified version of the ACVM which is not non-negative definite.

Full work available at URL: https://arxiv.org/abs/1108.3147

zbMATH Keywords

Toeplitz matrixrandom matricesstationary processspectral distributionautocovariance functionlinear processbanded and tapered autocovariance matrixsample autocovariance matrix

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random matrices (probabilistic aspects) (60B20) Stationary stochastic processes (60G10)

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Cited In (8)

• Nonparametric estimate of spectral density functions of sample covariance matrices generated by VARMA models
• Limiting spectral distribution of sample autocovariance matrices
• Tracy–Widom law for the largest eigenvalue of sample covariance matrix generated by VARMA
• Spectral Convergence of Large Block-Hankel Gaussian Random Matrices
• Joint convergence of sample autocovariance matrices when \(p/n\to 0\) with application
• Limiting spectral distribution of large-dimensional sample covariance matrices generated by the periodic autoregressive model
• Spectrum of high-dimensional sample covariance and related matrices: a selective review
• On the almost sure location of the singular values of certain Gaussian block-Hankel large random matrices

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