Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series

DOI10.1007/S10687-016-0251-7MaRDI QIDQ508723zbMATH OpenOpenAlexFDO

Authors Johannes Heiny, T. Mikosch, Xiaolei Xie, Richard A. Davis

Publication date 8 February 2017

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1604.07750

zbMATH Keywords

regular variationtracelargest eigenvaluessample covariance matrixcluster Poisson limitdependent entriesinfinite variance stable limitpoint process convergenceFréchet distribution

Mathematics Subject Classification ID

Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

Abstract: We provide some asymptotic theory for the largest eigenvalues of a sample covariance matrix of a p-dimensional time series where the dimension p = p_n converges to infinity when the sample size n increases. We give a short overview of the literature on the topic both in the light- and heavy-tailed cases when the data have finite (infinite) fourth moment, respectively. Our main focus is on the heavytailed case. In this case, one has a theory for the point process of the normalized eigenvalues of the sample covariance matrix in the iid case but also when rows and columns of the data are linearly dependent. We provide limit results for the weak convergence of these point processes to Poisson or cluster Poisson processes. Based on this convergence we can also derive the limit laws of various function als of the ordered eigenvalues such as the joint convergence of a finite number of the largest order statistics, the joint limit law of the largest eigenvalue and the trace, limit laws for successive ratios of ordered eigenvalues, etc. We also develop some limit theory for the singular values of the sample autocovariance matrices and their sums of squares. The theory is illustrated for simulated data and for the components of the S&P 500 stock index.

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Cited in

(20)

• Precise large deviations for strong subexponential distributions and applications on a multi risk model
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