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Spectral measures of empirical autocovariance matrices of high dimensional Gaussian stationary processes

Abstract : Consider the empirical autocovariance matrix at a given non-zero time lag based on observations from a multivariate complex Gaussian stationary time series. The spectral analysis of these autocovariance matrices can be useful in certain statistical problems, such as those related to testing for white noise. We study the behavior of their spectral measures in the asymptotic regime where the time series dimension and the observation window length both grow to infinity, and at the same rate. Following a general framework in the field of the spectral analysis of large random non-Hermitian matrices, at first the probabilistic behavior of the small singular values of the shifted versions of the autocovariance matrix are obtained. This is then used to infer about the large sample behaviour of the empirical spectral measure of the autocovariance matrices at any lag. Matrix orthogonal polynomials on the unit circle play a crucial role in our study.
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https://hal.archives-ouvertes.fr/hal-03446803
Contributor : Walid Hachem Connect in order to contact the contributor
Submitted on : Wednesday, November 24, 2021 - 2:45:15 PM
Last modification on : Saturday, January 15, 2022 - 3:56:23 AM

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  • HAL Id : hal-03446803, version 1

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Walid Hachem, Arup Bose. Spectral measures of empirical autocovariance matrices of high dimensional Gaussian stationary processes. 2021. ⟨hal-03446803⟩

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Les métriques sont temporairement indisponibles