Concentration of measure and spectra of random matrices: Applications to correlation matrices, elliptical distributions and beyond

Details Concentration of measure and spectra of random matrices: Applications to correlation matrices, elliptical distributions and beyond Concentration of measure and spectra of random matrices: Applications to correlation matrices, elliptical distributions and beyond

2009-12-10

arxiv.org/abs/0912.1950v1

Annals of Applied Probability 2009, Vol. 19, No. 6, 2362-2405

Mathematics

Probability

Published in at http://dx.doi.org/10.1214/08-AAP548 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Inst

Scientific paper

10.1214/08-AAP548

We place ourselves in the setting of high-dimensional statistical inference, where the number of variables $p$ in a data set of interest is of the same order of magnitude as the number of observations $n$. More formally, we study the asymptotic properties of correlation and covariance matrices, in the setting where $p/n\to\rho\in(0,\infty),$ for general population covariance. We show that, for a large class of models studied in random matrix theory, spectral properties of large-dimensional correlation matrices are similar to those of large-dimensional covarance matrices. We also derive a Mar\u{c}enko--Pastur-type system of equations for the limiting spectral distribution of covariance matrices computed from data with elliptical distributions and generalizations of this family. The motivation for this study comes partly from the possible relevance of such distributional assumptions to problems in econometrics and portfolio optimization, as well as robustness questions for certain classical random matrix results. A mathematical theme of the paper is the important use we make of concentration inequalities.

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