Limiting spectral distribution of Gram matrices associated with functionals of -mixing processes

DOI10.1016/J.JMAA.2015.07.064MaRDI QIDQ497762zbMATH OpenOpenAlexFDO

Authors Marwa Banna

Publication date 25 September 2015

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1406.6011

zbMATH Keywords

absolutely regular sequenceslimiting spectral distributionrandom matricessample covariance matricesspectral densityStieltjes transform

Mathematics Subject Classification ID

Ergodicity, mixing, rates of mixing (37A25) Random matrices (probabilistic aspects) (60B20) Strong limit theorems (60F15)

Abstract: We give asymptotic spectral results for Gram matrices of the form $n^{-1}mathcal{X}_{n}mathcal{X}_n^T$ where the entries of $mathcal{X}_n$ are dependent across both rows and columns. More precisely, they consist of short or long range dependent random variables having moments of second order and that are functionals of an absolutely regular sequence. We also give a concentration inequality of the Stieltjes transform and we prove that, under an arithmetical decay condition on the $$-mixing coefficients, it is almost surely concentrated around its expectation. Applications to examples of positive recurrent Markov chains and dynamical systems are also given.

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Cited in

(7)

• Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
• Large sample correlation matrices: a comparison theorem and its applications
• Operator-valued matrices with free or exchangeable entries
• Singular value distribution of dense random matrices with block Markovian dependence
• On the spectrum of sample covariance matrices for time series
• Asymptotic normality in Banach spaces via Lindeberg method
• Spectra of large dimensional random Gram matrices under partial dependence

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