Eigenvalues of sample covariance matrices of non-linear processes with infinite variance

Publication date 26 November 2012

Abstract: We study the

k

-largest eigenvalues of heavy-tailed sample covariance matrices of the form

in an asymptotic framework, where the dimension of the data and the sample size tend to infinity. To this end, we assume that the rows of

are given by independent copies of some stationary process with regularly varying marginals with index

a l p h a i n (0, 2)

satisfying large deviation and mixing conditions. We apply these general results to stochastic volatility and GARCH processes.

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