Eigenvector overlaps of sample covariance matrices with intersecting time periods
Statistical Mechanics
2025-09-30 v1 Data Analysis, Statistics and Probability
Mathematical Finance
Abstract
We compute exactly the overlap between the eigenvectors of two large empirical covariance matrices computed over intersecting time intervals, generalizing the results obtained previously for non-intersecting intervals. Our method relies on a particular form of Girko linearisation and extended local laws. We check our results numerically and apply them to financial data.
Keywords
Cite
@article{arxiv.2509.25076,
title = {Eigenvector overlaps of sample covariance matrices with intersecting time periods},
author = {Volodymyr Riabov and Konstantin Tikhonov and Jean-Philippe Bouchaud},
journal= {arXiv preprint arXiv:2509.25076},
year = {2025}
}
Comments
6 pages, 3 figures, supplementary material