Spectral measure of empirical autocovariance matrices of high-dimensional Gaussian stationary processes
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Publication:6133488
matrix orthogonal polynomialslimit spectral distributionmultivariate stationary processessmall singular valueslarge non-Hermitian matrix theoryhigh-dimensional times series analysis
Diagnostics, and linear inference and regression (62J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random matrices (probabilistic aspects) (60B20) Random measures (60G57) Other special orthogonal polynomials and functions (33C47) Free probability and free operator algebras (46L54)
Abstract: Consider the empirical autocovariance matrix at a given non-zero time lag based on observations from a multivariate complex Gaussian stationary time series. The spectral analysis of these autocovariance matrices can be useful in certain statistical problems, such as those related to testing for white noise. We study the behavior of their spectral measures in the asymptotic regime where the time series dimension and the observation window length both grow to infinity, and at the same rate. Following a general framework in the field of the spectral analysis of large random non-Hermitian matrices, at first the probabilistic behavior of the small singular values of the shifted versions of the autocovariance matrix are obtained. This is then used to infer about the large sample behaviour of the empirical spectral measure of the autocovariance matrices at any lag. Matrix orthogonal polynomials on the unit circle play a crucial role in our study.
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