Skip to Main content Skip to Navigation
Journal articles

On the behaviour of large empirical autocovariance matrices between the past and the future

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.
Complete list of metadatas

Cited literature [40 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-02370315
Contributor : Philippe Loubaton <>
Submitted on : Monday, November 25, 2019 - 2:54:24 PM
Last modification on : Friday, April 17, 2020 - 1:27:12 AM
Document(s) archivé(s) le : Wednesday, February 26, 2020 - 4:44:08 PM

Files

final-version-hal.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-02370315, version 2
  • ARXIV : 1911.08933

Collections

Citation

Philippe Loubaton, Daria Tieplova. On the behaviour of large empirical autocovariance matrices between the past and the future. Random Matrices: Theory Appl., In press. ⟨hal-02370315v2⟩

Share

Metrics

Record views

83

Files downloads

72