We study the asymptotic of the spectral distribution for large empirical covariance matrices composed of independent lognormal Multifractal Random Walk processes. The asymptotic is taken as the observation lag shrinks to . In this setting, we show that there exists a limiting spectral distribution whose Stieltjes transform is uniquely characterized by equations which we specify. We also illustrate our results by numerical simulations.
DOI : 10.1051/ps/2014028
Mots-clés : Multifractals, Marchenko-Pastur theorem, random matrices, Gaussian multiplicative chaos
@article{PS_2015__19__327_0, author = {Allez, Romain and Rhodes, R\'emi and Vargas, Vincent}, title = {Convergence of the spectrum of empirical covariance matrices for independent {MRW} processes}, journal = {ESAIM: Probability and Statistics}, pages = {327--360}, publisher = {EDP-Sciences}, volume = {19}, year = {2015}, doi = {10.1051/ps/2014028}, zbl = {1331.60015}, language = {en}, url = {http://archive.numdam.org/articles/10.1051/ps/2014028/} }
TY - JOUR AU - Allez, Romain AU - Rhodes, Rémi AU - Vargas, Vincent TI - Convergence of the spectrum of empirical covariance matrices for independent MRW processes JO - ESAIM: Probability and Statistics PY - 2015 SP - 327 EP - 360 VL - 19 PB - EDP-Sciences UR - http://archive.numdam.org/articles/10.1051/ps/2014028/ DO - 10.1051/ps/2014028 LA - en ID - PS_2015__19__327_0 ER -
%0 Journal Article %A Allez, Romain %A Rhodes, Rémi %A Vargas, Vincent %T Convergence of the spectrum of empirical covariance matrices for independent MRW processes %J ESAIM: Probability and Statistics %D 2015 %P 327-360 %V 19 %I EDP-Sciences %U http://archive.numdam.org/articles/10.1051/ps/2014028/ %R 10.1051/ps/2014028 %G en %F PS_2015__19__327_0
Allez, Romain; Rhodes, Rémi; Vargas, Vincent. Convergence of the spectrum of empirical covariance matrices for independent MRW processes. ESAIM: Probability and Statistics, Tome 19 (2015), pp. 327-360. doi : 10.1051/ps/2014028. http://archive.numdam.org/articles/10.1051/ps/2014028/
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