Joint CLT for top eigenvalues of sample covariance matrices of separable high dimensional long memory processes

DOI10.1142/S2010326322500320MaRDI QIDQ5092968zbMATH OpenOpenAlexFDO

Authors Peng Tian

Publication date 26 July 2022

Published in Random Matrices: Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1906.00909

zbMATH Keywords

largest eigenvalueslong memoryseparable sample covariance matrixToeplitz matrix

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Toeplitz, Cauchy, and related matrices (15B05) Random matrices (algebraic aspects) (15B52) Integral equations of the convolution type (Abel, Picard, Toeplitz and Wiener-Hopf type) (45E10) Stationary stochastic processes (60G10)

Abstract: For $N,ninmathbbN$, consider the sample covariance matrix ${\displaystyle }$S_N(T)=frac{1}{N}XX^*${\displaystyle }$ from a data set $X=C_N^{1/2}Z{T}_n^{1/2}$, where $Z=(Z_{i,j})$ is a $Nimesn$ matrix having i.i.d. entries with mean zero and variance one, and $C_N,T_n$ are deterministic positive semi-definite Hermitian matrices of dimension $N$ and $n$, respectively. We assume that $(C_N{)}_N$ is bounded in spectral norm, and $T_n$ is a Toeplitz matrix with its largest eigenvalues diverging to infinity. The matrix $X$ can be viewed as a data set of an $N$-dimensional long memory stationary process having separable dependence structure. As $N,noinfty$ and $N{n}^{-1}orin(0,infty)$, we establish the asymptotics and the joint CLT for $(lambd{a}_1(S_N(T)),cdots,lambd{a}_m(S_N(T){)}^{o}p$ where $lambd{a}_j(S_N(T))$ denotes the $j$th largest eigenvalue of $S_N(T)$, and $m$ is a fixed integer. For the CLT, we first study the case where the entries of $Z$ are Gaussian, and then we generalize the result to some more generic cases. This result substantially extends our previous result in Merlev`ede et al. 2019, where we studied $lambd{a}_1(S_N(T))$ in the case where $m=1$ and $X=Z{T}_n^{1/2}$ with $Z$ having Gaussian entries. In order to establish this CLT, we are led to study the first order asymptotics of the largest eigenvalues and the associated eigenvectors of some deterministic Toeplitz matrices. We are specially interested in the autocovariance matrices of long memory stationary processes. We prove multiple spectral gap properties for the largest eigenvalues and a delocalization property for their associated eigenvectors.

Recommendations

• On the empirical spectral distribution for matrices with long memory and independent rows
• Unbounded largest eigenvalue of large sample covariance matrices: asymptotics, fluctuations and applications
• Eigenvalue distribution of large sample covariance matrices of linear processes
• CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data
• Joint central limit theorem for eigenvalue statistics from several dependent large dimensional sample covariance matrices with application

Cites work

• Algebraic multiplicity of eigenvalues of linear operators
• Analysis of the limiting spectral distribution of large dimensional random matrices
• Analysis of the limiting spectral measure of large random matrices of the separable covariance type
• Anisotropic local laws for random matrices
• Asymptotics of empirical eigenstructure for high dimensional spiked covariance
• Central limit theorem for linear spectral statistics of general separable sample covariance matrices with applications
• Central limit theorem for linear spectral statistics of large dimensional separable sample covariance matrices
• Central limit theorems for eigenvalues in a spiked population model
• CLT for largest eigenvalues and unit root testing for high-dimensional nonstationary time series
• CLT for linear spectral statistics of large-dimensional sample covariance matrices.
• Concentration inequalities. A nonasymptotic theory of independence
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Edge universality of separable covariance matrices
• Functional CLT for sample covariance matrices
• Gaussian fluctuations for linear spectral statistics of large random covariance matrices
• scientific article; zbMATH DE number 1749062 (Why is no real title available?)
• Limiting laws for divergent spiked eigenvalues and largest nonspiked eigenvalue of sample covariance matrices
• Limiting spectral distribution for a class of random matrices
• Linear operators and their spectra
• Long-Range Dependence and Self-Similarity
• No eigenvalues outside the support of the limiting empirical spectral distribution of a separable covariance matrix
• No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
• On sample eigenvalues in a generalized spiked population model
• On the distribution of the largest eigenvalue in principal components analysis
• On the eigenvalues of integral operators with difference kernels
• On the empirical distribution of eigenvalues of a class of large dimensional random matrices
• On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
• PCA consistency in high dimension, low sample size context
• Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices
• Probability Inequalities for the Sum of Independent Random Variables
• Shape fluctuations and random matrices
• Some limit theorems for the eigenvalues of a sample covariance matrix
• Spiked separable covariance matrices and principal components
• Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
• The Central Limit Theorem for Linear Eigenvalue Statistics of the Sum of Independent Matrices of Rank One
• The strong limits of random matrix spectra for sample matrices of independent elements
• Theorems and Fallacies in the Theory of Long-Range-Dependent Processes
• Tracy-Widom distribution for the largest eigenvalue of real sample covariance matrices with general population
• Tracy-Widom limit for the largest eigenvalue of a large class of complex sample covariance matrices
• Unbounded largest eigenvalue of large sample covariance matrices: asymptotics, fluctuations and applications
• Universality for the largest eigenvalue of sample covariance matrices with general population

Cited in

(5)

• CLT for largest eigenvalues and unit root testing for high-dimensional nonstationary time series
• Ratio-consistent estimation for long range dependent Toeplitz covariance with application to matrix data whitening
• Benign overfitting in time-series linear models with over-parameterization
• On the empirical spectral distribution of large wavelet random matrices based on mixed-Gaussian fractional measurements in moderately high dimensions
• On benign overfitting of high-dimensional stochastic processes

This page was built for publication: Joint CLT for top eigenvalues of sample covariance matrices of separable high dimensional long memory processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5092968)