On the empirical spectral distribution for matrices with long memory and independent rows

DOI10.1016/J.SPA.2016.02.016zbMATH Open1346.60021OpenAlexW2963924645MaRDI QIDQ737178FDOQ737178

Authors: Florence Merlevède, Magda Peligrad 

Publication date: 8 August 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: In this paper we show that the empirical eigenvalue distribution of any sample covariance matrix generated by independent copies of a stationary regular sequence has a limiting distribution depending only on the spectral density of the sequence. We characterize this limit in terms of Stieltjes transform via a certain simple equation. No rate of convergence to zero of the covariances is imposed. If the entries of the stationary sequence are functions of independent random variables the result holds without any other additional assumptions. As a method of proof, we study the empirical eigenvalue distribution for a symmetric matrix with independent rows below the diagonal; the entries satisfy a Lindeberg-type condition along with mixingale-type conditions without rates. In this nonstationary setting we point out a property of universality, meaning that, for large matrix size, the empirical eigenvalue distribution depends only on the covariance structure of the sequence and is independent on the distribution leading to it. These results have interest in themselves, allowing to study symmetric random matrices generated by random processes with both short and long memory.

Full work available at URL: https://arxiv.org/abs/1406.1216

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zbMATH Keywords

Stieltjes transformspectral densityrandom matricesmartingale approximationempirical eigenvalue distributionlimiting distributionsample covariance matrixLindeberg method

Mathematics Subject Classification ID

Random fields (60G60) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Martingales with discrete parameter (60G42) Strong limit theorems (60F15)

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