On the behaviour of large empirical autocovariance matrices between the past and the future
Comportement asymptotique de grandes matrices d'autocovariance entre passé et futur
Abstract
The asymptotic behaviour of the distribution of the squared singular values of the sample autocovariance matrix between the past and the future of a high-dimensional complex Gaussian uncorrelated sequence is studied. Using Gaussian tools, it is established the distribution behaves as a deterministic probability measure whose support S is characterized. It is also established that the singular values to the square are almost surely located in a neighbourhood of S.
Domains
Probability [math.PR]| Origin | Files produced by the author(s) |
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