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.
https://hal.archives-ouvertes.fr/hal-02370315 Contributor : Philippe LoubatonConnect in order to contact the contributor Submitted on : Monday, November 25, 2019 - 2:54:24 PM Last modification on : Friday, April 1, 2022 - 3:47:37 AM Long-term archiving on: : Wednesday, February 26, 2020 - 4:44:08 PM
Philippe Loubaton, Daria Tieplova. On the behaviour of large empirical autocovariance matrices between the past and the future. Random Matrices: Theory Appl., 2021, vol. 10 (no. 2), ⟨10.1142/S2010326321500210⟩. ⟨hal-02370315v2⟩