Central limit theorem for linear spectral statistics of general separable sample covariance matrices with applications

DOI10.1016/J.JSPI.2020.06.003zbMATH Open1455.62187arXiv1901.07746OpenAlexW3082011278MaRDI QIDQ826962FDOQ826962

Authors: Huiqin Li, Yanqing Yin, Shurong Zheng 

Publication date: 6 January 2021

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Abstract: In this paper, we consider the separable covariance model, which plays an important role in wireless communications and spatio-temporal statistics and describes a process where the time correlation does not depend on the spatial location and the spatial correlation does not depend on time. We established a central limit theorem for linear spectral statistics of general separable sample covariance matrices in the form of $mathbf{S}_n=frac1nmathbf{T}_{1n}mathbf{X}_{n}mathbf{T}_{2n}mathbf{X}_n^{\ast }mathbf{T}_{1n}^{\ast }$ where $mathbf{X}_n=(x_{jk})$ is of $m_{1}imes{m}_2$ dimension, the entries $x_{jk},j=1,\mathrm{...},m_1,k=1,\mathrm{...},m_2$ are independent and identically distributed complex variables with zero means and unit variances, $mathbf{T}_{1n}$ is a $pimes{m}_1$ complex matrix and $mathbf{T}_{2n}$ is an $m_{2}imes{m}_2$ Hermitian matrix. We then apply this general central limit theorem to the problem of testing white noise in time series.

Full work available at URL: https://arxiv.org/abs/1901.07746

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zbMATH Keywords

central limit theoremlinear spectral statisticsseparable covariance matriceswhite noise test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30) Estimation in multivariate analysis (62H12) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15) White noise theory (60H40)

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Cited In (5)

• Joint central limit theorem for eigenvalue statistics from several dependent large dimensional sample covariance matrices with application
• CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data
• Joint CLT for top eigenvalues of sample covariance matrices of separable high dimensional long memory processes
• Central limit theorem for linear spectral statistics of large dimensional separable sample covariance matrices
• Separable sample covariance matrices under elliptical populations with applications

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