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Joint Central Limit Theorem for Eigenvalue Statistics from Several Dependent Large Dimensional Sample Covariance Matrices with Application
Ist Teil von
Scandinavian journal of statistics, 2018-09, Vol.45 (3), p.699-728
Ort / Verlag
Oxford: Wiley Publishing
Erscheinungsjahr
2018
Link zum Volltext
Quelle
Business Source Ultimate
Beschreibungen/Notizen
Let X
n
= (x
ij
) be a k × n data matrix with complex-valued, independent and standardized entries satisfying a Lindeberg-type moment condition. We consider simultaneously R sample covariance matrices
B
n
r
=
1
n
Q
r
X
n
X
n
*
Q
r
⊺
,
1
≤
r
≤
R
, where the Q
r
’s are non-random real matrices with common dimensions p × k (k ≥ p). Assuming that both the dimension p and the sample size n grow to infinity, the limiting distributions of the eigenvalues of the matrices {B
nr
} are identified, and as the main result of the paper, we establish a joint central limit theorem (CLT) for linear spectral statistics of the R matrices {B
nr
}. Next, this new CLT is applied to the problem of testing a high-dimensional white noise in time series modelling. In experiments, the derived test has a controlled size and is significantly faster than the classical permutation test, although it does have lower power. This application highlights the necessity of such joint CLT in the presence of several dependent sample covariance matrices. In contrast, all the existing works on CLT for linear spectral statistics of large sample covariance matrices deal with a single sample covariance matrix (R = 1).