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

DOI10.1007/S10687-016-0251-7zbMATH Open1384.60023arXiv1604.07750OpenAlexW3104376871MaRDI QIDQ508723FDOQ508723

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

Publication date: 8 February 2017

Published in: Extremes (Search for Journal in Brave)

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.

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

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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)

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Cited In (20)

• Precise large deviations for strong subexponential distributions and applications on a multi risk model
• High-dimensional sample covariance matrices with Curie-Weiss entries
• A necessary and sufficient condition for edge universality at the largest singular values of covariance matrices
• Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case
• Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails
• Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
• The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model
• The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
• Asymptotic behavior of eigenvalues of variance-covariance matrix of a high-dimensional heavy-tailed Lévy process
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• The asymptotic distribution of the condition number for random circulant matrices
• Random matrix theory for heavy-tailed time series
• Thin-shell theory for rotationally invariant random simplices
• Extreme eigenvalue statistics of \(m\)-dependent heavy-tailed matrices
• Large sample correlation matrices: a comparison theorem and its applications
• Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations
• Editorial: Special issue on time series extremes
• Asymptotic joint distribution of extreme eigenvalues and trace of large sample covariance matrix in a generalized spiked population model
• Point process convergence for the off-diagonal entries of sample covariance matrices
• Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series

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