Strong limit of the extreme eigenvalues of a symmetrized auto-cross covariance matrix

DOI10.1214/14-AAP1092MaRDI QIDQ894819zbMATH OpenOpenAlexFDO

Authors Chen Wang, Baisuo Jin, K. Krishnan Nair, Zhidong Bai, Matthew Harding

Publication date 24 November 2015

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.2277, https://projecteuclid.org/euclid.aoap/1443703784

zbMATH Keywords

Stieltjes transformrandom matrix theorydynamic factor analysislimiting spectral distributionextreme eigenvaluesstrong limitauto-cross covariance matrixorder detectionMarčenko-Pastur law

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17)

Abstract: The auto-cross covariance matrix is defined as [mathbf{M}_n=frac{1} {2T}sum_{j=1}^T�igl(mathbf{e}_jmathbf{e}_{j+ au}^*+mathbf{e}_{j+ au}mathbf{e}_j^*�igr),] where $mathbf{e}_j$'s are $n$-dimensional vectors of independent standard complex components with a common mean 0, variance $sigm{a}^2$, and uniformly bounded $2+eta$th moments and $au$ is the lag. Jin et al. [Ann. Appl. Probab. 24 (2014) 1199-1225] has proved that the LSD of $mathbf{M}_n$ exists uniquely and nonrandomly, and independent of $au$ for all $auge1$. And in addition they gave an analytic expression of the LSD. As a continuation of Jin et al. [Ann. Appl. Probab. 24 (2014) 1199-1225], this paper proved that under the condition of uniformly bounded fourth moments, in any closed interval outside the support of the LSD, with probability 1 there will be no eigenvalues of $mathbf{M}_n$ for all large $n$. As a consequence of the main theorem, the limits of the largest and smallest eigenvalue of $mathbf{M}_n$ are also obtained.

Recommendations

• A note on the limiting spectral distribution of a symmetrized auto-cross covariance matrix
• Limiting spectral distribution of a symmetrized auto-cross covariance matrix
• On the weak limit of the largest eigenvalue of a large dimensional sample covariance matrix
• Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails
• On the convergence of the extremal eigenvalues of empirical covariance matrices with dependence
• Strong convergence of the empirical distribution of eigenvalues of sample covariance matrices with a perturbation matrix
• On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
• On eigenvalue distributions of large autocovariance matrices
• Extremal eigenvalues of sample covariance matrices with general population
• Some strong convergence theorems for eigenvalues of general sample covariance matrices

Cites work

• scientific article; zbMATH DE number 1250544 (Why is no real title available?)
• scientific article; zbMATH DE number 3244317 (Why is no real title available?)
• A note on the limiting spectral distribution of a symmetrized auto-cross covariance matrix
• Central limit theorems for eigenvalues in a spiked population model
• Convergence rate of expected spectral distributions of large random matrices. I: Wigner matrices
• Distribution function inequalities for martingales
• Eigenvalues of large sample covariance matrices of spiked population models
• Identifying the number of factors from singular values of a large sample auto-covariance matrix
• Limiting spectral distribution of a symmetrized auto-cross covariance matrix
• No eigenvalues outside the support of the limiting empirical spectral distribution of a separable covariance matrix
• No eigenvalues outside the support of the limiting spectral distribution of information-plus-noise type matrices
• No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
• On the distribution of the largest eigenvalue in principal components analysis
• On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
• Spectral analysis of large dimensional random matrices

Cited in

(4)

• Large sample autocovariance matrices of linear processes with heavy tails
• Limiting spectral distribution of a symmetrized auto-cross covariance matrix
• On singular values distribution of a matrix large auto-covariance in the ultra-dimensional regime
• A note on the limiting spectral distribution of a symmetrized auto-cross covariance matrix

This page was built for publication: Strong limit of the extreme eigenvalues of a symmetrized auto-cross covariance matrix

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q894819)