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

DOI10.1214/14-AAP1092zbMATH Open1328.60088arXiv1312.2277OpenAlexW3105045715MaRDI QIDQ894819FDOQ894819

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)

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.

Full work available at URL: https://arxiv.org/abs/1312.2277

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zbMATH Keywords

Stieltjes transformrandom matrix theorydynamic factor analysislimiting spectral distributionextreme eigenvalues[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Mar%EF%BF%BD%EF%BF%BDenko-Pastur+law&go=Go Mar��enko-Pastur law]strong limitauto-cross covariance matrixorder detection

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)

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Cited In (4)

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

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