Limiting spectral distribution of sample autocovariance matrices
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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.
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Cited in
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- A note on a Marčenko-Pastur type theorem for time series
- On the spectrum of sample covariance matrices for time series
- Large sample behaviour of high dimensional autocovariance matrices
- Tracy-Widom law for the largest eigenvalue of sample covariance matrix generated by VARMA
- Spectrum of high-dimensional sample covariance and related matrices: a selective review
- Limiting spectral distribution of sample autocovariance matrices
- On eigenvalue distributions of large autocovariance matrices
- On the limiting spectral distribution of the covariance matrices of time-lagged processes
- Joint convergence of sample autocovariance matrices when \(p/n\to 0\) with application
- A note on the limiting spectral distribution of a symmetrized auto-cross covariance matrix
- On the almost sure location of the singular values of certain Gaussian block-Hankel large random matrices
- Spectral convergence of large block-Hankel Gaussian random matrices
- Spectral measure of empirical autocovariance matrices of high-dimensional Gaussian stationary processes
- Nonparametric estimate of spectral density functions of sample covariance matrices generated by VARMA models
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