Spectra of Empirical Auto-Covariance Matrices

DOI10.1209/0295-5075/99/20008MaRDI QIDQ6229829zbMATH OpenFDO

Authors R. Kühn, Peter Sollich

Publication date 20 December 2011

Full work available at URL https://doi.org/10.1209/0295-5075/99/20008

Abstract: We compute spectra of sample auto-covariance matrices of second order stationary stochastic processes. We look at a limit in which both the matrix dimension $N$ and the sample size $M$ used to define empirical averages diverge, with their ratio $alpha=N/M$ kept fixed. We find a remarkable scaling relation which expresses the spectral density $ho(lambda)$ of sample auto-covariance matrices for processes with dynamical correlations as a continuous superposition of appropriately rescaled copies of the spectral density $h{o}_a^{(0)}lpha(lambda)$ for a sequence of uncorrelated random variables. The rescaling factors are given by the Fourier transform $hatC(q)$ of the auto-covariance function of the stochastic process. We also obtain a closed-form approximation for the scaling function $h{o}_a^{(0)}lpha(lambda)$. This depends on the shape parameter $alpha$, but is otherwise universal: it is independent of the details of the underlying random variables, provided only they have finite variance. Our results are corroborated by numerical simulations using auto-regressive processes.

This page was built for publication: Spectra of Empirical Auto-Covariance Matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6229829)