On the asymptotic behavior of the eigenvalue distribution of block correlation matrices of high-dimensional time series

Abstract

We consider linear spectral statistics built from the block-normalized correlation matrix of a set of [Formula: see text] mutually independent scalar time series. This matrix is composed of [Formula: see text] blocks. Each block has size [Formula: see text] and contains the sample cross-correlation measured at [Formula: see text] consecutive time lags between each pair of time series. Let [Formula: see text] denote the total number of consecutively observed windows that are used to estimate these correlation matrices. We analyze the asymptotic regime where [Formula: see text] while [Formula: see text], [Formula: see text]. We study the behavior of linear statistics of the eigenvalues of this block correlation matrix under these asymptotic conditions and show that the empirical eigenvalue distribution converges to a Marcenko–Pastur distribution. Our results are potentially useful in order to address the problem of testing whether a large number of time series are uncorrelated or not.