Moment bounds for large autocovariance matrices under dependence
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Publication:785402
Abstract: The goal of this paper is to obtain expectation bounds for the deviation of large sample autocovariance matrices from their means under weak data dependence. While the accuracy of covariance matrix estimation corresponding to independent data has been well understood, much less is known in the case of dependent data. We make a step towards filling this gap, and establish deviation bounds that depend only on the parameters controlling the "intrinsic dimension" of the data up to some logarithmic terms. Our results have immediate impacts on high dimensional time series analysis, and we apply them to high dimensional linear VAR() model, vector-valued ARCH model, and a model used in Banna et al. (2016).
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Cited in
(7)- Consistency of large dimensional sample covariance matrix under weak dependence
- Inverse moment bounds for sample autocovariance matrices based on detrended time series and their applications
- On singular value distribution of large-dimensional autocovariance matrices
- Moment approach for singular values distribution of a large auto-covariance matrix
- Dimension-free bounds for sums of dependent matrices and operators with heavy-tailed distributions
- Concentration and consistency of sample covariance matrix functionals in sub-Gaussian models
- Sharp concentration for sums of matrices with Markovian dependence through universality
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