A note on a Marčenko-Pastur type theorem for time series

DOI10.1016/J.SPL.2011.08.011zbMATH Open1229.62129arXiv1109.1612OpenAlexW2169482141MaRDI QIDQ654461FDOQ654461

Authors: Jian-Feng Yao 

Publication date: 28 December 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: In this note we develop an extension of the Marv{c}enko-Pastur theorem to time series model with temporal correlations. The limiting spectral distribution (LSD) of the sample covariance matrix is characterised by an explicit equation for its Stieltjes transform depending on the spectral density of the time series. A numerical algorithm is then given to compute the density functions of these LSD's.

Full work available at URL: https://arxiv.org/abs/1109.1612

Recommendations

• On the Marčenko-Pastur law for linear time series
• Limiting spectral distribution of large sample covariance matrices associated with a class of stationary processes
• On the spectrum of sample covariance matrices for time series
• Limiting spectral distribution of sample autocovariance matrices
• Analysis of the limiting spectral distribution of large dimensional random matrices

zbMATH Keywords

high-dimensional time serieshigh-dimensional sample covariance matrices

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

• Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
• Title not available (Why is that?)
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Analysis of the limiting spectral distribution of large dimensional random matrices
• Title not available (Why is that?)
• Limiting spectral distribution for a class of random matrices
• Some limit theorems for the eigenvalues of a sample covariance matrix
• Convergence to the semicircle law
• Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA
• The strong limits of random matrix spectra for sample matrices of independent elements

Cited In (33)

• Sparse principal component analysis for high‐dimensional stationary time series
• Limiting spectral distribution of sample autocovariance matrices
• Limiting spectral distribution for large sample covariance matrices with graph-dependent elements
• On the Marčenko-Pastur law for linear time series
• Matrix polynomial generalizations of the sample variance-covariance matrix when \(pn^{-1}\to y(0,\infty)\)
• Large sample behaviour of high dimensional autocovariance matrices
• Spectral distribution of the sample covariance of high-dimensional time series with unit roots
• CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data
• Polynomial generalizations of the sample variance-covariance matrix when \(pn^{-1}\to 0\)
• Spiked sample covariance matrices with possibly multiple bulk components
• On the limit of the spectral distribution of large-dimensional random quaternion covariance matrices
• Efficient computation of limit spectra of sample covariance matrices
• Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails
• High-dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation
• On singular values of data matrices with general independent columns
• Testing independence among a large number of high-dimensional random vectors
• The limiting spectral distribution in terms of spectral density
• Random matrix theory in statistics: a review
• Title not available (Why is that?)
• Marchenko–Pastur law with relaxed independence conditions
• On the spectrum of sample covariance matrices for time series
• Limiting spectral distribution of large-dimensional sample covariance matrices generated by the periodic autoregressive model
• High-dimensional linear models: a random matrix perspective
• LLN for quadratic forms of long memory time series and its applications in random matrix theory
• Spectrum of high-dimensional sample covariance and related matrices: a selective review
• Statistical inference for complex time series data. Abstracts from the workshop held September 22--28, 2013.
• Limiting spectral distribution of large sample covariance matrices associated with a class of stationary processes
• Bootstrapping non-stationary and irregular time series using singular spectral analysis
• Singular value distribution of dense random matrices with block Markovian dependence
• On the limiting spectral distribution for a large class of symmetric random matrices with correlated entries
• Limiting spectral distribution of Gram matrices associated with functionals of \(\beta\)-mixing processes
• On the empirical spectral distribution for matrices with long memory and independent rows
• Title not available (Why is that?)

This page was built for publication: A note on a Marčenko-Pastur type theorem for time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q654461)