Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA

Authors:
Baisuo Jin;Cheng Wang;Baiqi Miao;Mong-Na Lo Huang
Affiliations:
Department of Statistics and Finance, University of Science and Technology of China, Hefei, Anhui 230026, China;Department of Statistics and Finance, University of Science and Technology of China, Hefei, Anhui 230026, China;Department of Statistics and Finance, University of Science and Technology of China, Hefei, Anhui 230026, China;Department of Applied Mathematics, National Sun Yat-sen University, Kaohsiung, 80424, Taiwan
Venue:
Journal of Multivariate Analysis
Year:
2009

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Abstract

The existence of a limiting spectral distribution (LSD) for a large-dimensional sample covariance matrix generated by the vector autoregressive moving average (VARMA) model is established. In particular, we obtain explicit forms of the LSDs for random matrices generated by a first-order vector autoregressive (VAR(1)) model and a first-order vector moving average (VMA(1)) model, as well as random coefficients for VAR(1) and VMA(1). The parameters for these explicit forms are also estimated. Finally, simulations demonstrate that the results are effective.