Moment approach for singular values distribution of a large auto-covariance matrix

DOI10.1214/15-AIHP693MaRDI QIDQ503082zbMATH OpenOpenAlexFDO

Authors Qinwen Wang, Jian-Feng Yao

Publication date 11 January 2017

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.0752

zbMATH Keywords

Stieltjes transformconvergencesingular valueseigenvaluelargest eigenvaluerandom matriceslimiting spectral distributionmoment methodempirical spectral distributionauto-covariance matrix

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Strong limit theorems (60F15)

Abstract: Let $(varepsilo{n}_t{)}_{t>0}$ be a sequence of independent real random vectors of $p$-dimension and let $X_T=su{m}_{t=s+1}^{s+T}varepsilo{n}_{t}varepsilo{n}_{t-s}^T/T$ be the lag-$s$ ($s$ is a fixed positive integer) auto-covariance matrix of $varepsilo{n}_t$. Since $X_T$ is not symmetric, we consider its singular values, which are the square roots of the eigenvalues of $X_T{X}_T^T$. Therefore, the purpose of this paper is to investigate the limiting behaviors of the eigenvalues of $X_T{X}_T^T$ in two aspects. First, we show that the empirical spectral distribution of its eigenvalues converges to a nonrandom limit $F$. Second, we establish the convergence of its largest eigenvalue to the right edge of $F$. Both results are derived using moment methods.

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Cited in

(9)

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• On singular value distribution of large-dimensional autocovariance matrices
• On singular values of data matrices with general independent columns
• Large sample autocovariance matrices of linear processes with heavy tails
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• On the behavior of large empirical autocovariance matrices between the past and the future
• A note on the limiting spectral distribution of a symmetrized auto-cross covariance matrix
• On singular values of large dimensional lag-\(\tau\) sample auto-correlation matrices

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