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On spectral distribution of high dimensional covariation matrices

Probability 2014-10-27 v1

Abstract

In this paper we present the asymptotic theory for spectral distributions of high dimensional covariation matrices of Brownian diffusions. More specifically, we consider NN-dimensional Ito integrals with time varying matrix-valued integrands. We observe nn equidistant high frequency data points of the underlying Brownian diffusion and we assume that N/nc(0,)N/n\rightarrow c\in (0,\infty). We show that under a certain mixed spectral moment condition the spectral distribution of the empirical covariation matrix converges in distribution almost surely. Our proof relies on method of moments and applications of graph theory.

Keywords

Cite

@article{arxiv.1410.6764,
  title  = {On spectral distribution of high dimensional covariation matrices},
  author = {Claudio Heinrich and Mark Podolskij},
  journal= {arXiv preprint arXiv:1410.6764},
  year   = {2014}
}