Limiting spectral distribution of a new random matrix model with dependence across rows and columns

DOI10.1016/J.LAA.2011.08.040MaRDI QIDQ417413zbMATH OpenOpenAlexFDO

Authors Eckhard Schlemm, Oliver Pfaffel

Publication date 14 May 2012

Published in Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1201.4134

zbMATH Keywords

Stieltjes transformrandom matrix theoryeigenvalue distributionlimiting spectral distributionlinear processsample covariance matrixrandom matrix with dependent entries

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Analysis of variance and covariance (ANOVA) (62J10) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

Abstract: We introduce a random matrix model where the entries are dependent across both rows and columns. More precisely, we investigate matrices of the form $X=(X_{(i-1)n+t}{)}_{it}in{R}^{pimesn}$ derived from a linear process $X_t=su{m}_j{c}_j{Z}_{t-j}$, where the $Z_t$ are independent random variables with bounded fourth moments. We show that, when both $p$ and $n$ tend to infinity such that the ratio $p/n$ converges to a finite positive limit $y$, the empirical spectral distribution of $p^{-1}X{X}^T$ converges almost surely to a deterministic measure. This limiting measure, which depends on $y$ and the spectral density of the linear process $X_t$, is characterized by an integral equation for its Stieltjes transform. The matrix $p^{-1}X{X}^T$ can be interpreted as an approximation to the sample covariance matrix of a high-dimensional process whose components are independent copies of $X_t$.

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Cited in

(9)

• Limiting spectral distribution of Toeplitz and Hankel matrices with dependent entries
• Limiting spectral distribution of circulant type matrices with dependent inputs
• On the spectrum of sample covariance matrices for time series
• High-dimensional linear models: a random matrix perspective
• Fluctuations of Marchenko-Pastur limit of random matrices with dependent entries
• Singular value distribution of dense random matrices with block Markovian dependence
• Limiting spectral distribution of Gram matrices associated with functionals of \(\beta\)-mixing processes
• On the empirical spectral distribution for matrices with long memory and independent rows
• From random matrices to long range dependence

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