Joint central limit theorem for eigenvalue statistics from several dependent large dimensional sample covariance matrices with application

DOI10.1111/SJOS.12320MaRDI QIDQ4685449zbMATH OpenOpenAlexWikidataFDO

Authors Zeng Li, Weiming Li, Jian-Feng Yao

Publication date 8 October 2018

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1801.06634

zbMATH Keywords

central limit theoremlinear spectral statisticslarge sample covariance matriceswhite noise testhigh-dimensional times series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15)

Abstract: Let $mathbf{X}_n=(x_{ij})$ be a $kimesn$ data matrix with complex-valued, independent and standardized entries satisfying a Lindeberg-type moment condition. We consider simultaneously $R$ sample covariance matrices $mathbf{B}_{nr}=frac1nmathbf{Q}_{r}mathbf{X}_{n}mathbf{X}_n^{\ast }mathbf{Q}_r^{o}p,1lerleR$, where the $mathbf{Q}_r$'s are nonrandom real matrices with common dimensions $pimesk(kgeqp)$. Assuming that both the dimension $p$ and the sample size $n$ grow to infinity, the limiting distributions of the eigenvalues of the matrices $mathbf{B}_{nr}$ are identified, and as the main result of the paper, we establish a joint central limit theorem for linear spectral statistics of the $R$ matrices $mathbf{B}_{nr}$. Next, this new CLT is applied to the problem of testing a high dimensional white noise in time series modelling. In experiments the derived test has a controlled size and is significantly faster than the classical permutation test, though it does have lower power. This application highlights the necessity of such joint CLT in the presence of several dependent sample covariance matrices. In contrast, all the existing works on CLT for linear spectral statistics of large sample covariance matrices deal with a single sample covariance matrix ($R=1$).

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Cited in

(8)

• CLT for largest eigenvalues and unit root testing for high-dimensional nonstationary time series
• CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data
• Some strong convergence theorems for eigenvalues of general sample covariance matrices
• Smallest singular value and limit eigenvalue distribution of a class of non-Hermitian random matrices with statistical application
• Central limit theorem for linear spectral statistics of general separable sample covariance matrices with applications
• Joint CLT for several random sesquilinear forms with applications to large-dimensional spiked population models
• Testing high dimensional covariance matrices via posterior Bayes factor
• Joint CLT for top eigenvalues of sample covariance matrices of separable high dimensional long memory processes

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