From random matrices to long range dependence
Abstract
Random matrices whose entries come from a stationary Gaussian process are studied. The limiting behavior of the eigenvalues as the size of the matrix goes to infinity is the main subject of interest in this work. It is shown that the limiting spectral distribution is determined by the absolutely continuous component of the spectral measure of the stationary process, a phenomenon resembling that in the situation where the entries of the matrix are i.i.d. On the other hand, the discrete component contributes to the limiting behavior of the eigenvalues in a completely different way. Therefore, this helps to define a boundary between short and long range dependence of a stationary Gaussian process in the context of random matrices.
Cite
@article{arxiv.1401.0780,
title = {From random matrices to long range dependence},
author = {Arijit Chakrabarty and Rajat Subhra Hazra and Deepayan Sarkar},
journal= {arXiv preprint arXiv:1401.0780},
year = {2016}
}
Comments
50 pages. The current article generalises the results in http://arxiv.org/abs/1304.3394 and gives a new perspective and elegant proofs of some of the results there. It is to appear in Random Matrices: Theory and Applications