Eigenvalue distribution of large sample covariance matrices of linear processes

MaRDI QIDQ4915078zbMATH OpenFDO

Authors Oliver Pfaffel, Eckhard Schlemm

Publication date 16 April 2013

Full work available at URL https://arxiv.org/abs/1201.3828, http://www.math.uni.wroc.pl/~pms/publicationsArticle.php?nr=31.2&nrA=9&ppB=313&ppE=329

zbMATH Keywords

eigenvalue distributionfractionally integrated ARMA processlimiting spectral distributionlinear processrandom matrix theorysample covariance matrix

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: We derive the distribution of the eigenvalues of a large sample covariance matrix when the data is dependent in time. More precisely, the dependence for each variable $i=1,\mathrm{...},p$ is modelled as a linear process $(X_{i,t}{)}_{t=1,\mathrm{...},n}=(su{m}_{j=0}^{i}nfty{c}_j{Z}_{i,t-j}{)}_{t=1,\mathrm{...},n}$, where $Z_{i,t}$ are assumed to be independent random variables with finite fourth moments. If the sample size $n$ and the number of variables $p=p_n$ both converge to infinity such that $y=li{m}_{noinfty}n/p_n>0$, then the empirical spectral distribution of $p^{-1}X{X}^T$ converges to a nonhyp{}random distribution which only depends on $y$ and the spectral density of $$. In particular, our results apply to (fractionally integrated) ARMA processes, which we illustrate by some examples.

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(26)

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