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

DOI10.1016/J.LAA.2011.08.040zbMATH Open1244.15026arXiv1201.4134OpenAlexW2025601829MaRDI QIDQ417413FDOQ417413

Authors: Eckhard Schlemm, Oliver Pfaffel 

Publication date: 14 May 2012

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

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 $X_t$.

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

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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)

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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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