Limiting Spectral Distribution of Sample Autocovariance Matrices

Details Limiting Spectral Distribution of Sample Autocovariance Matrices Limiting Spectral Distribution of Sample Autocovariance Matrices

2011-08-16

arxiv.org/abs/1108.3147v2

Mathematics

Probability

22 pages, 4 figures

Scientific paper

We show that the empirical spectral distribution (ESD) of the sample autocovariance matrix (ACVM) converges as the dimension increases, when the time series is a linear process with reasonable restriction on the coefficients. The limit does not depend on the distribution of the underlying driving i.i.d. sequence and its support is unbounded. This limit does not coincide with the spectral distribution of the theoretical ACVM. However, it does so if we consider a suitably tapered version of the sample ACVM. For banded sample ACVM the limit has unbounded support as long as the number of non-zero diagonals in proportion to the dimension of the matrix is bounded away from zero. If this ratio tends to zero, then the limit exists and again coincides with the spectral distribution of the theoretical ACVM. Finally we also study the LSD of a naturally modified version of the ACVM which is not non-negative definite.

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