Extreme eigenvalues of sample covariance and correlation matrices
Research output: Book/Report › Ph.D. thesis › Research
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Extreme eigenvalues of sample covariance and correlation matrices. / Heiny, Johannes.
Department of Mathematical Sciences, Faculty of Science, University of Copenhagen, 2017.Research output: Book/Report › Ph.D. thesis › Research
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TY - BOOK
T1 - Extreme eigenvalues of sample covariance and correlation matrices
AU - Heiny, Johannes
PY - 2017
Y1 - 2017
N2 - This thesis is concerned with asymptotic properties of the eigenvalues of high-dimensional sample covariance and correlation matrices under an infinite fourth moment of the entries. In the first part, we study the joint distributional convergence of the largest eigenvalues of the sample covariance matrix of a p-dimensional heavy-tailed time series when p converges to infinity together with the sample size n. We generalize the growth rates of p existing in the literature. Assuming a regular variation condition with tail index < 4, we employ a large deviations approach to show that the extreme eigenvalues are essentially determined by the extreme order statistics from an array of iid random variables. The asymptotic behavior of the extreme eigenvalues is then derived routinely from classical extreme value theory. The resulting approximations are strikingly simple considering the high dimension of the problem at hand. We develop a theory for the point process of the normalized eigenvalues of the sample covariance matrix in the case where rows and columns of the data are linearly dependent. Based on the weak convergence of this point process we derive the limit laws of various functionals of the eigenvalues. In the second part, we show that the largest and smallest eigenvalues of a highdimensional sample correlation matrix possess almost sure non-random limits if the truncated variance of the entry distribution is “almost slowly varying”, a condition we describe via moment properties of self-normalized sums. We compare the behavior of the eigenvalues of the sample covariance and sample correlation matrices and argue that the latter seems more robust, in particular in the case of infinite fourth moment.
AB - This thesis is concerned with asymptotic properties of the eigenvalues of high-dimensional sample covariance and correlation matrices under an infinite fourth moment of the entries. In the first part, we study the joint distributional convergence of the largest eigenvalues of the sample covariance matrix of a p-dimensional heavy-tailed time series when p converges to infinity together with the sample size n. We generalize the growth rates of p existing in the literature. Assuming a regular variation condition with tail index < 4, we employ a large deviations approach to show that the extreme eigenvalues are essentially determined by the extreme order statistics from an array of iid random variables. The asymptotic behavior of the extreme eigenvalues is then derived routinely from classical extreme value theory. The resulting approximations are strikingly simple considering the high dimension of the problem at hand. We develop a theory for the point process of the normalized eigenvalues of the sample covariance matrix in the case where rows and columns of the data are linearly dependent. Based on the weak convergence of this point process we derive the limit laws of various functionals of the eigenvalues. In the second part, we show that the largest and smallest eigenvalues of a highdimensional sample correlation matrix possess almost sure non-random limits if the truncated variance of the entry distribution is “almost slowly varying”, a condition we describe via moment properties of self-normalized sums. We compare the behavior of the eigenvalues of the sample covariance and sample correlation matrices and argue that the latter seems more robust, in particular in the case of infinite fourth moment.
UR - https://soeg.kb.dk/permalink/45KBDK_KGL/fbp0ps/alma99122937722005763
M3 - Ph.D. thesis
BT - Extreme eigenvalues of sample covariance and correlation matrices
PB - Department of Mathematical Sciences, Faculty of Science, University of Copenhagen
ER -
ID: 174209118